INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK
From MaRDI portal
Publication:5398357
DOI10.1017/asb.2013.20zbMath1284.91263OpenAlexW2125876631MaRDI QIDQ5398357
Katrien Antonio, Mathieu Pigeon, Michel M. Denuit
Publication date: 27 February 2014
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/asb.2013.20
multivariate skew normal distributionchain-ladderindividual claimsgeneral insurancestochastic loss reserving
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (30)
Stochastic loss reserving using individual information model with over-dispersed Poisson ⋮ A micro-level claim count model with overdispersion and reporting delays ⋮ Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective ⋮ Asymptotic behaviors of stochastic reserving: aggregate versus individual models ⋮ Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models ⋮ Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ Collective reserving using individual claims data ⋮ Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing ⋮ Machine learning in individual claims reserving ⋮ Bootstrap inference on the Behrens–Fisher-type problem for the skew-normal population under dependent samples ⋮ Leveraging high-resolution weather information to predict hail damage claims: a spatial point process for replicated point patterns ⋮ Provisioning against borrowers default risk ⋮ Individual claims reserving using activation patterns ⋮ Evaluation of the EU proposed farm income stabilisation tool by skew normal linear mixed models ⋮ Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation ⋮ Modeling the number of hidden events subject to observation delay ⋮ Collective loss reserving with two types of claims in motor third party liability insurance ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ Micro-level parametric duration-frequency-severity modeling for outstanding claim payments ⋮ The exact density of the sum of independent skew normal random variables ⋮ Individual loss reserving using paid-incurred data ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ On the relationship between classical chain ladder and granular reserving ⋮ A TREE-BASED ALGORITHM ADAPTED TO MICROLEVEL RESERVING AND LONG DEVELOPMENT CLAIMS ⋮ An individual claims reserving model for reported claims ⋮ Neural networks applied to chain-ladder reserving ⋮ In-sample forecasting applied to reserving and mesothelioma mortality ⋮ Estimating IBNR claim counts using different levels of data aggregation ⋮ Stochastic reserving using policyholder information via EM algorithm ⋮ On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk
Uses Software
Cites Work
- Unnamed Item
- Semiparametric model for prediction of individual claim loss reserving
- Paid-incurred chain claims reserving method
- A Poisson log-bilinear regression approach to the construction of projected lifetables.
- A class of multivariate skew-normal models
- The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor
- Prediction of Outstanding Liabilities II. Model Variations and Extensions
- PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING
- A Necessary and Sufficient Condition for the Square of a Random Variable to be Gamma
This page was built for publication: INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK