An individual loss reserving model with independent reporting and settlement

DOI10.1016/j.insmatheco.2015.05.010zbMath1348.62240OpenAlexW560647157MaRDI QIDQ495477

Chunjuan Qiu, Xian Zhou, Xianyi Wu, Jinlong Huang

Publication date: 14 September 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.05.010

zbMATH Keywords

asymptotic normalitymaximum likelihood estimatorloss reservingIBNR reserveindividual data

Mathematics Subject Classification ID

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

Related Items (9)

Stochastic loss reserving using individual information model with over-dispersed Poisson ⋮ A marked Cox model for the number of IBNR claims: theory ⋮ Analysis of IBNR claims in renewal insurance models ⋮ Continuous chain-ladder with paid data ⋮ Modeling the number of hidden events subject to observation delay ⋮ THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING ⋮ Estimation of Poisson-Dirichlet parameters with monotone missing data ⋮ Micro-level parametric duration-frequency-severity modeling for outstanding claim payments ⋮ Stochastic reserving using policyholder information via EM algorithm

Cites Work

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• Using expected loss ratios in reserving
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• An Individual Claims Reserving Model
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• A contribution to modelling of IBNR claims
• Asymptotic Statistics
• Micro-level stochastic loss reserving for general insurance
• Lognormal Mixed Models for Reported Claims Reserves

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