Stochastic modelling of insurance liabilities

zbMATH Open1193.91069MaRDI QIDQ3574512FDOQ3574512

Authors: Gaida Pettere 

Publication date: 9 July 2010

Recommendations

• A contribution to modelling of IBNR claims
• Applying copula models to individual claim loss reserving methods
• Simulation based comparison of stochastic claims reserving models in general insurance
• scientific article; zbMATH DE number 1996545
• Analysis of IBNR liabilities with interevent times depending on claim counts

zbMATH Keywords

IBNR reservemultivariate copulasclaim sizedependence characteristicsdevelopment timeloss adjusted expense

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (17)

• Title not available (Why is that?)
• Insurance Considering a New Stochastic Model for the Discount Factor
• Modeling of an insurance system and its large deviations analysis
• The difference between LSMC and replicating portfolio in insurance liability modeling
• Modelling of technical reserves of an insurance company
• Stable-\(1/2\) bridges and insurance
• Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective
• Simulation based comparison of stochastic claims reserving models in general insurance
• Analysis of IBNR liabilities with interevent times depending on claim counts
• Applying copula models to individual claim loss reserving methods
• On the distribution of IBNR reserves
• Stochastic successive approximation method for assessing the insolvency risk of an insurance company
• The reserving for outstanding losses based on multivariate \(t\)-copula model
• Title not available (Why is that?)
• Sensitivity Analysis of Insurance Risk Models via Simulation
• Unallocated loss adjustment expense reserving
• Copula models for estimating outstanding claim provisions

This page was built for publication: Stochastic modelling of insurance liabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3574512)