A continuous-time model for claims reserving

DOI10.4064/am41-4-1zbMath1309.91077OpenAlexW2320821604MaRDI QIDQ2939949

Tomasz Rolski, Agata Tomanek

Publication date: 23 January 2015

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.4064/am41-4-1

zbMATH Keywords

saddlepoint approximationFFTnon-homogeneous Poisson processclaim reservingIBNR losses

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (2)

Prediction in a mixed Poisson cluster model ⋮ Prediction of components in random sums

Cites Work

• Panjer recursion versus FFT for compound distributions
• Prediction of outstanding payments in a Poisson cluster model
• Probabilités et processus stochastiques
• An Introduction to the Theory of Point Processes

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