Stochastic incremental approach for modelling the claims reserves

DOI10.12988/IMF.2013.13086zbMATH Open1285.91145OpenAlexW2512503796MaRDI QIDQ5402015FDOQ5402015

Ilyes Chorfi, Mohamed Riad Remita

Publication date: 12 March 2014

Published in: International Mathematical Forum (Search for Journal in Brave)

Full work available at URL: http://www.m-hikari.com/imf/imf-2013/17-20-2013/remitaIMF17-20-2013.pdf

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zbMATH Keywords

stochastic claims reservingchain-ladder methodMack's modelCDRcalendar year viewincremental payments

Mathematics Subject Classification ID

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

Cited In (8)

• Title not available (Why is that?)
• Modelling of technical reserves of an insurance company
• Claims Reserving with a Stochastic Vector Projection
• Risk aggregation and stochastic claims reserving in disability insurance
• Title not available (Why is that?)
• Modelling claims run-off with reversible jump Markov chain Monte Carlo methods
• Prediction error for credible claims reserves: an \(h\)-likelihood approach
• Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation

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