COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING

DOI10.1017/asb.2017.36zbMath1390.91179OpenAlexW2780364302MaRDI QIDQ4562954

Gilles Dupin, Emmanuel Koenig, Eric Ratiarison, Pierre le Moine, Alain Monfort

Publication date: 6 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2017.36

zbMATH Keywords

predictioncorrelationupdatingsemiparametric approachsimultaneous estimationVaRCDRincurred and paid claimstail development

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Unnamed Item
• Econometric specification of stochastic discount factor models
• Financial modeling, actuarial valuation and solvency in insurance
• Paid-incurred chain claims reserving method
• Chain ladder method: Bayesian bootstrap versus classical bootstrap
• A maximum likelihood method for the incidental parameter problem
• The incidental parameter problem since 1948
• Claims development result in the paid-incurred chain reserving method
• Individual loss reserving using paid-incurred data
• A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving
• Pseudo Maximum Likelihood Methods: Theory
• PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING
• Consistent Estimates Based on Partially Consistent Observations
• Estimation in discrete parameter models

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