Semiparametric model for prediction of individual claim loss reserving
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Publication:659084
DOI10.1016/J.INSMATHECO.2009.02.009zbMATH Open1231.91259OpenAlexW1988556548MaRDI QIDQ659084FDOQ659084
Authors: Xian Zhou, Xiaobing Zhao, Jing-Long Wang 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.02.009
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Cites Work
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- Prediction of claim numbers based on hazard rates
- A comparison of models for the chain--ladder method
- Prediction of IBNR claim counts by modelling the distribution of report lags
- A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
Cited In (28)
- Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays
- Collective reserving using individual claims data
- An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model
- Joint model prediction and application to individual-level loss reserving
- The impacts of individual information on loss reserving
- A micro-level claim count model with overdispersion and reporting delays
- Micro-level reserving for general insurance claims using a long short-term memory network
- Infinitely stochastic micro reserving
- Micro-level stochastic loss reserving for general insurance
- On the relationship between classical chain ladder and granular reserving
- A tree-based algorithm adapted to microlevel reserving and long development claims
- 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
- Micro-level parametric duration-frequency-severity modeling for outstanding claim payments
- On the modelling of multivariate counts with Cox processes and dependent shot noise intensities
- Kernel Poisson regression machine for stochastic claims reserving
- Modelación predictiva de siniestros en seguros de no vida
- Applying copula models to individual claim loss reserving methods
- Modeling Payment Frequency for Loss Reserves Based on Dynamic Claim Scores
- A marked Cox model for the number of IBNR claims: theory
- Prediction error for credible claims reserves: an \(h\)-likelihood approach
- An individual claims reserving model for reported claims
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- Evaluation of individual RBNS loss reserving based on generalized linear model
- Matrix calculation for ultimate and 1-year risk in the semi-Markov individual loss reserving model
- Individual loss reserving with the multivariate skew normal framework
- Collective loss reserving with two types of claims in motor third party liability insurance
- Stochastic loss reserving in discrete time: individual vs. aggregate data models
- Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
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