Applying copula models to individual claim loss reserving methods

DOI10.1016/j.insmatheco.2009.11.001zbMath1231.91260OpenAlexW1971980065MaRDI QIDQ659223

Xian Zhou, Xiao Bing Zhao

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.2009.11.001

zbMATH Keywords

Clayton copulasemi-competing risksIBNR claimindividual claim loss modelevent and delay timessemi-survival copula

Mathematics Subject Classification ID

Related Items (20)

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 ⋮ Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models ⋮ A marked Cox model for the number of IBNR claims: theory ⋮ Micro-level stochastic loss reserving for general insurance ⋮ Modeling of successive cancer risks in Lynch syndrome families in the presence of competing risks using copulas ⋮ A censored copula model for micro-level claim reserving ⋮ Individual claims reserving using activation patterns ⋮ Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation ⋮ Infinitely stochastic micro reserving ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ 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 ⋮ On the relationship between classical chain ladder and granular reserving ⋮ Multivariate negative binomial models for insurance claim counts ⋮ Bounds for the Clayton copula ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING ⋮ Stochastic reserving using policyholder information via EM algorithm ⋮ On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk

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