Prediction of outstanding payments in a Poisson cluster model

DOI10.1080/03461238.2010.481080zbMath1277.62252OpenAlexW2127609994MaRDI QIDQ2866287

Anders Hedegaard Jessen, Gennady Samorodnitsky, Thomas Mikosch

Publication date: 13 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/13344

zbMATH Keywords

predictionrecursive algorithmchain ladder methodclaims reservingPoisson cluster model\((a,b)\) classPanjer distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (16)

Prediction in a mixed Poisson cluster model ⋮ Prediction of components in random sums ⋮ Collective reserving using individual claims data ⋮ Prediction in a Poisson cluster model with multiple cluster processes ⋮ Double chain ladder, claims development inflation and zero-claims ⋮ A continuous-time model for claims reserving ⋮ Machine learning in individual claims reserving ⋮ Normal approximation for fire incident simulation using permanental Cox processes ⋮ A general multivariate chain ladder model ⋮ Infinitely stochastic micro reserving ⋮ Prediction in a Poisson cluster model ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ Prediction in a non-homogeneous Poisson cluster model ⋮ An individual claims reserving model for reported claims ⋮ Neural networks applied to chain-ladder reserving ⋮ Functional central limit theorems and moderate deviations for Poisson cluster processes

Cites Work

• Non-life insurance mathematics. An introduction with stochastic processes.
• Which stochastic model is underlying the chain ladder method?
• The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
• An Extension of Panjer's Recursion

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