An application of randomly truncated data models in reserving IBNR claims

DOI10.1016/S0167-6687(99)00028-1zbMath0947.62072OpenAlexW2025869848MaRDI QIDQ1962822

Tomáš Herbst

Publication date: 30 March 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00028-1

zbMATH Keywords

compound Poisson modelIBNR claimsmodel of randomly truncated data

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05)

Related Items (6)

Tail product-limit process for truncated data with application to extreme value index estimation ⋮ Discrete-time survival analysis under ranked set sampling: an application to Turkish motor insurance data ⋮ Semiparametric model for prediction of individual claim loss reserving ⋮ Applying copula models to individual claim loss reserving methods ⋮ Fast adaptive estimation of log-additive exponential models in Kullback-Leibler divergence ⋮ Estimating extreme quantiles under random truncation

Cites Work

• Unnamed Item
• Empirical distributions in selection bias models
• Prediction of claim numbers based on hazard rates
• Prediction of IBNR claim counts by modelling the distribution of report lags
• Random truncation models and Markov processes
• A Semiparametric Model for Randomly Truncated Data
• Estimating a distribution function with truncated data

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