A MARKED COX MODEL FOR THE NUMBER OF IBNR CLAIMS: ESTIMATION AND APPLICATION

DOI10.1017/asb.2019.15zbMath1427.91218MaRDI QIDQ4972122

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

Publication date: 22 November 2019

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2019.15

zbMATH Keywords

EM algorithm; hidden Markov chain; Cox model; loss reserving; IBNR claims; Pascal mixture; temporal dependence

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G05: Actuarial mathematics

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JOINT MODEL PREDICTION AND APPLICATION TO INDIVIDUAL-LEVEL LOSS RESERVING, Collective reserving using individual claims data, A New Class of Severity Regression Models with an Application to IBNR Prediction, Multivariate Cox Hidden Markov models with an application to operational risk, Estimating IBNR claim counts using different levels of data aggregation, FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING, Fitting Censored and Truncated Regression Data Using the Mixture of Experts Models, On the modelling of multivariate counts with Cox processes and dependent shot noise intensities, Modeling the occurrence of events subject to a reporting delay via an EM algorithm, Infinitely stochastic micro reserving, Neural networks applied to chain-ladder reserving, Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns

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