Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models

DOI10.1080/03610926.2014.976473zbMath1329.62411OpenAlexW1853327011MaRDI QIDQ3462360

Xianyi Wu, Jinlong Huang, Chunjuan Qiu

Publication date: 5 January 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.976473

zbMATH Keywords

maximum likelihood estimateloss reservingaggregate data modelindividual data modelBornhuetter-Ferguson algorithmchain ladder algorithm

Mathematics Subject Classification ID

Related Items (9)

Stochastic loss reserving using individual information model with over-dispersed Poisson ⋮ A hierarchical reserving model for reported non-life insurance claims ⋮ Asymptotic behaviors of stochastic reserving: aggregate versus individual models ⋮ A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS ⋮ Regression based reserving models and partial information ⋮ Collective loss reserving with two types of claims in motor third party liability insurance ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING ⋮ Stochastic reserving using policyholder information via EM algorithm

Cites Work

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• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• The geometric chain-ladder
• Micro-level stochastic loss reserving for general insurance
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK

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