On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk

DOI10.1080/10920277.2020.1776623zbMath1489.91220OpenAlexW3084009922MaRDI QIDQ5027906

Sébastien Jessup, Mathieu Pigeon, Jean-Philippe Boucher

Publication date: 7 February 2022

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2020.1776623

zbMATH Keywords

risk analysisnon-life insuranceunearned premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Uses Software

• VGAM
• actuar
• DCL
• CopulaModel

Cites Work

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• Bivariate lower and upper orthant value-at-risk
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• Rank-based methods for modeling dependence between loss triangles
• Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation
• Double Chain Ladder
• Dependence Modeling with Copulas
• Micro-level stochastic loss reserving for general insurance
• Risk Classification for Claim Counts
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK
• Hierarchical Insurance Claims Modeling
• Double Chain Ladder and Bornhuetter-Ferguson