Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model

DOI10.1080/03461238.2020.1848912zbMath1472.91038OpenAlexW3106909083MaRDI QIDQ5003358

R. Van Oirbeek, Louise d'Oultremont, Carole Bettonville, Julien Trufin, Michel M. Denuit

Publication date: 21 July 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/315305/3/MultistateIndividualReserving_SecondRevision.pdf

zbMATH Keywords

financial reportingIBNRtechnical provisionsloss developmentRBNPRBNSsolvency calculation

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Actuarial mathematics (91G05)

Related Items (2)

MULTI-STATE MODELLING OF CUSTOMER CHURN ⋮ A COLLECTIVE RESERVING MODEL WITH CLAIM OPENNESS

Cites Work

• Nonlife ratemaking and risk management with Bayesian generalized additive models for location, scale, and shape
• Collective loss reserving with two types of claims in motor third party liability insurance
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development
• Modeling actuarial data with a composite lognormal-Pareto model
• On composite lognormal-Pareto models
• Generalized Pareto Fit to the Society of Actuaries’ Large Claims Database
• Unnamed Item

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