Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays

DOI10.1080/03461238.2020.1793218zbMath1468.91126OpenAlexW3022255990MaRDI QIDQ4990501

Xavier Milhaud, Olivier Lopez

Publication date: 28 May 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2020.1793218

zbMATH Keywords

truncationcensoringCARTreservingreporting delay

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Actuarial mathematics (91G05)

Related Items (3)

Collective reserving using individual claims data ⋮ Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks ⋮ Micro-level parametric duration-frequency-severity modeling for outstanding claim payments

Cites Work

• Unnamed Item
• Unnamed Item
• Random survival forests
• Tree-based censored regression with applications in insurance
• Tree-based multivariate regression and density estimation with right-censored data
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Valuation and risk assessment of disability insurance using a discrete time trivariate Markov renewal reward process
• Neural networks applied to chain-ladder reserving
• A censored copula model for micro-level claim reserving
• The collective reserving model
• A note on the product-limit estimator under right censoring and left truncation
• Nonparametric Estimation and Regression Analysis With Left-Truncated and Right-Censored Data
• On the relationship between classical chain ladder and granular reserving
• Machine learning in individual claims reserving
• A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS
• Continuous chain-ladder with paid data
• Uniform Representation of Product‐Limit Integrals with Applications
• The Nash bargaining solution vs. equilibrium in a reinsurance syndicate

This page was built for publication: Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays