Micro-level stochastic loss reserving for general insurance
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Publication:4576873
DOI10.1080/03461238.2012.755938zbMATH Open1401.91091OpenAlexW2154996067MaRDI QIDQ4576873FDOQ4576873
Authors: Katrien Antonio, Richard Plat 
Publication date: 11 July 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://lirias.kuleuven.be/handle/123456789/349102
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- Individual loss reserving using paid-incurred data
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Double chain ladder
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- An Individual Claims Reserving Model
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- Prediction of RBNS and IBNR claims using claim amounts and claim counts
- A robustification of the chain-ladder method
- Paid-incurred chain claims reserving method
- Modelling zeros in stochastic reserving models.
- Stochastic projection for large individual losses
Cited In (61)
- Ratemaking in a changing environment
- A machine learning approach for individual claims reserving in insurance
- Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks
- Micro-level reserving for general insurance claims using a long short-term memory network
- Estimating IBNR claim counts using different levels of data aggregation
- FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING
- Combined modelling of micro-level outstanding claim counts and individual claim frequencies in non-life insurance
- Individual claims reserving using activation patterns
- Modeling Payment Frequency for Loss Reserves Based on Dynamic Claim Scores
- Semiparametric copula models applied to the decomposition of claim amounts
- Regression based reserving models and partial information
- In-sample forecasting applied to reserving and mesothelioma mortality
- Transaction time models in multi-state life insurance
- Collective reserving using individual claims data
- Continuous chain-ladder with paid data
- The collective reserving model
- Joint model prediction and application to individual-level loss reserving
- Stochastic reserving using policyholder information via EM algorithm
- A micro-level claim count model with overdispersion and reporting delays
- Modelling censored losses using splicing: a global fit strategy with mixed Erlang and extreme value distributions
- Modeling the occurrence of events subject to a reporting delay via an EM algorithm
- Modeling the number of hidden events subject to observation delay
- Fitting mixtures of Erlangs to censored and truncated data using the EM algorithm
- Neural networks applied to chain-ladder reserving
- A New Class of Severity Regression Models with an Application to IBNR Prediction
- Explicit moments for a class of micro-models in non-life insurance
- Infinitely stochastic micro reserving
- Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models
- COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE
- Modelling zeros in stochastic reserving models.
- General limited information diffusion method of small-sample information analysis in insurance
- A loss reserving method for incomplete claim data
- On the relationship between classical chain ladder and granular reserving
- Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data
- New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
- A marked Cox model for the number of IBNR claims: estimation and application
- A tree-based algorithm adapted to microlevel reserving and long development claims
- 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
- A collective reserving model with claim openness
- Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model
- On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk
- A censored copula model for micro-level claim reserving
- Machine learning in individual claims reserving
- Robust bootstrap procedures for the chain-ladder method
- A marked Cox model for the number of IBNR claims: theory
- An individual loss reserving model with independent reporting and settlement
- Analysis of IBNR claims in renewal insurance models
- Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns
- An individual claims reserving model for reported claims
- Asymptotic behaviors of stochastic reserving: aggregate versus individual models
- Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model
- Collective loss reserving with two types of claims in motor third party liability insurance
- Stochastic loss reserving using individual information model with over-dispersed Poisson
- Stochastic loss reserving in discrete time: individual vs. aggregate data models
- Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing
- Berry-Esseen bounds for compound-Poisson loss percentiles
- Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
- A hierarchical reserving model for reported non-life insurance claims
- Double chain ladder, claims development inflation and zero-claims
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