A marked Cox model for the number of IBNR claims: theory

DOI10.1016/j.insmatheco.2016.03.016zbMath1369.91075OpenAlexW3122354522MaRDI QIDQ343960

Dameng Tang, X. Sheldon Lin, Andrei L. Badescu

Publication date: 21 November 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.016

zbMATH Keywords

hidden Markov chainCox modelloss reservingIBNR claimsPascal mixturetemporal dependence

Mathematics Subject Classification ID

Related Items (22)

A micro-level claim count model with overdispersion and reporting delays ⋮ Statistical inference for partially observed Markov-modulated diffusion risk model ⋮ JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING ⋮ Modeling the occurrence of events subject to a reporting delay via an EM algorithm ⋮ Analysis of IBNR claims in renewal insurance models ⋮ Transaction time models in multi-state life insurance ⋮ A Cox model for gradually disappearing events ⋮ Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns ⋮ Continuous chain-ladder with paid data ⋮ AGGREGATE CLAIM ESTIMATION USING BIVARIATE HIDDEN MARKOV MODEL ⋮ Asymptotic correlation structure of discounted incurred but not reported claims under fractional Poisson arrival process ⋮ Infinitely stochastic micro reserving ⋮ Modeling the number of hidden events subject to observation delay ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ A New Class of Severity Regression Models with an Application to IBNR Prediction ⋮ Multivariate Cox Hidden Markov models with an application to operational risk ⋮ COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION ⋮ Neural networks applied to chain-ladder reserving ⋮ Estimating IBNR claim counts using different levels of data aggregation ⋮ Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models

Cites Work

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• Aspects of risk theory
• A micro-level claim count model with overdispersion and reporting delays
• Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• ON SOME PROPERTIES OF A CLASS OF MULTIVARIATE ERLANG MIXTURES WITH INSURANCE APPLICATIONS
• Micro-level stochastic loss reserving for general insurance
• A Robustification of the Chain-Ladder Method
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