Explicit moments for a class of micro-models in non-life insurance

DOI10.1016/j.insmatheco.2019.10.001zbMath1427.91244OpenAlexW2981147037WikidataQ127063570 ScholiaQ127063570MaRDI QIDQ2010902

Felix Wahl

Publication date: 28 November 2019

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.10.001

zbMATH Keywords

riskPoisson processstochastic claims reservingloss reservingsolvency

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Actuarial mathematics (91G05)

Related Items (2)

Stochastic loss reserving using individual information model with over-dispersed Poisson ⋮ Modeling the occurrence of events subject to a reporting delay via an EM algorithm

Uses Software

• DCL

Cites Work

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• Addendum to: ``The multi-year non-life insurance risk in the additive reserving model: Quantification of multi-year non-life insurance risk in chain ladder reserving models
• The one-year non-life insurance risk
• Non-life insurance mathematics. An introduction with the Poisson process
• Estimation for nonhomogeneous Poisson processes from aggregated data
• The collective reserving model
• Double Chain Ladder
• On the Foundations of Statistical Inference
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• A contribution to modelling of IBNR claims
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• CHAIN LADDER AND ERROR PROPAGATION
• Micro-level stochastic loss reserving for general insurance
• Probability: A Graduate Course

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