An individual loss reserving model with independent reporting and settlement

DOI10.1016/J.INSMATHECO.2015.05.010MaRDI QIDQ495477zbMATH OpenOpenAlexFDO

Authors Chunjuan Qiu, Xianyi Wu, Xian Zhou, Jinlong Huang

Publication date 14 September 2015

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2015.05.010

zbMATH Keywords

asymptotic normalityloss reservingmaximum likelihood estimatorIBNR reserveindividual data

Mathematics Subject Classification ID

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

Recommendations

• Stochastic loss reserving in discrete time: individual vs. aggregate data models
• The impacts of individual information on loss reserving
• An Individual Claims Reserving Model
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Cites work

• A contribution to modelling of IBNR claims
• An Individual Claims Reserving Model
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Asymptotic Statistics
• Lognormal mixed models for reported claims reserves
• Loss models. From data to decisions
• Micro-level stochastic loss reserving for general insurance
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Prediction of RBNS and IBNR claims using claim amounts and claim counts
• Stochastic claims reserving methods in insurance
• Using expected loss ratios in reserving

Cited in

(19)

• Joint model prediction and application to individual-level loss reserving
• Statistical modelling and forecasting of outstanding liabilities in non-life insurance
• Stochastic loss reserving using individual information model with over-dispersed Poisson
• A marked Cox model for the number of IBNR claims: theory
• The impacts of individual information on loss reserving
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
• Estimation of Poisson-Dirichlet parameters with monotone missing data
• Estimation of loss reserves based on a hierarchical Bayesian model
• Individual RBNS loss reserving in a discrete time model
• Stochastic reserving using policyholder information via EM algorithm
• Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays
• Individual claims reserving models based on marked Cox processes
• Analysis of IBNR claims in renewal insurance models
• Continuous chain-ladder with paid data
• An Individual Claims Reserving Model
• A collective reserving model with claim openness
• Modeling the number of hidden events subject to observation delay
• Stochastic loss reserving in discrete time: individual vs. aggregate data models

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