Stochastic incremental approach for modelling the claims reserves

DOI10.12988/IMF.2013.13086MaRDI QIDQ5402015zbMATH OpenOpenAlexFDO

Authors 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

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)

Recommendations

• An Individual Claims Reserving Model
• Which stochastic model is underlying the chain ladder method?
• The reserve uncertainties in the chain ladder model of Mack revisited
• Claims Reserving with a Stochastic Vector Projection
• Paid-incurred chain claims reserving method

Cited in

(9)

• scientific article; zbMATH DE number 6671298 (Why is no real title available?)
• Modelling of technical reserves of an insurance company
• Claims Reserving with a Stochastic Vector Projection
• Risk aggregation and stochastic claims reserving in disability insurance
• Modelling negatives in stochastic reserving models
• scientific article; zbMATH DE number 6971102 (Why is no real title available?)
• 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

This page was built for publication: Stochastic incremental approach for modelling the claims reserves

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5402015)