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

DOI10.1016/j.insmatheco.2016.02.002zbMath1369.91084OpenAlexW2275733424MaRDI QIDQ320254

Giuseppe Melisi, Paola Fersini

Publication date: 6 October 2016

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.02.002

zbMATH Keywords

copuladependencebest estimatechain ladderclaims reservedirect compensationmultistate model

Mathematics Subject Classification ID

Related Items (2)

A stochastic model to evaluate pricing distortions in indemnity insurance methods for MTPL insurance ⋮ Efficient capital management using an internal model: a case of non-life insurance

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Semiparametric model for prediction of individual claim loss reserving
• Applying copula models to individual claim loss reserving methods
• A stochastic simulation procedure for pension schemes
• An introduction to copulas. Properties and applications
• Actuarial models for pricing disability benefits: Towards a unifying approach
• Individual loss reserving using paid-incurred data
• A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving
• An Individual Claims Reserving Model
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• A contribution to modelling of IBNR claims
• Micro-level stochastic loss reserving for general insurance
• Su due metodi simulativi per la valutazione di grandezze interessanti assicurazioni sulla vita
• Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK
• Loss Models

This page was built for publication: 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