Joint model prediction and application to individual-level loss reserving
DOI10.1017/ASB.2021.28zbMATH Open1484.91401OpenAlexW3212129041MaRDI QIDQ5067883FDOQ5067883
Authors: A. Nii-Armah Okine, Edward W. Frees, Peng Shi 
Publication date: 4 April 2022
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2021.28
Recommendations
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dynamic predictionRBNS reservesjoint model for longitudinal and survival datamicro-level loss reserving
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
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- Machine learning in individual claims reserving
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- Longitudinal and Panel Data
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- Shared parameter models under random effects misspecification
- Joint modeling of longitudinal and time-to-event data
- Joint modelling of longitudinal and time-to-event data with application to predicting abdominal aortic aneurysm growth and rupture
- 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
Cited In (12)
- Transaction time models in multi-state life insurance
- Collective reserving using individual claims data
- Joint models for longitudinal counts and left-truncated time-to event data with applications to health insurance
- Leveraging Weather Dynamics in Insurance Claims Triage Using Deep Learning
- Ratemaking in a changing environment
- Micro-level prediction of outstanding claim counts based on novel mixture models and neural networks
- Infinitely stochastic micro reserving
- Combined modelling of micro-level outstanding claim counts and individual claim frequencies in non-life insurance
- Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
- Modeling Payment Frequency for Loss Reserves Based on Dynamic Claim Scores
- Multi-state modelling of customer churn
- A Relational Data Matching Model for Enhancing Individual Loss Experience: An Example from Crop Insurance
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