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Stochastic Claims Reserving in General Insurance

Citations

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Cited by:

  1. Massimo De Felice & Franco Moriconi, 2023. "Stochastic Chain-Ladder Reserving with Modeled General Inflation," Risks, MDPI, vol. 11(12), pages 1-31, December.
  2. Peters, Gareth W. & Wüthrich, Mario V. & Shevchenko, Pavel V., 2010. "Chain ladder method: Bayesian bootstrap versus classical bootstrap," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 36-51, August.
  3. M. Hiabu & E. Mammen & M. D. Martìnez-Miranda & J. P. Nielsen, 2016. "In-sample forecasting with local linear survival densities," Biometrika, Biometrika Trust, vol. 103(4), pages 843-859.
  4. Dorothea Diers & Martin Eling & Christian Kraus & Andreas Reuß, 2012. "Market-consistent embedded value in non-life insurance: how to measure it and why," Journal of Risk Finance, Emerald Group Publishing, vol. 13(4), pages 320-346, August.
  5. Crevecoeur, Jonas & Antonio, Katrien & Verbelen, Roel, 2019. "Modeling the number of hidden events subject to observation delay," European Journal of Operational Research, Elsevier, vol. 277(3), pages 930-944.
  6. Nataliya Chukhrova & Arne Johannssen, 2021. "Stochastic Claims Reserving Methods with State Space Representations: A Review," Risks, MDPI, vol. 9(11), pages 1-55, November.
  7. Avanzi, Benjamin & Taylor, Greg & Vu, Phuong Anh & Wong, Bernard, 2020. "A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 93(C), pages 50-71.
  8. Benjamin Avanzi & Gregory Clive Taylor & Phuong Anh Vu & Bernard Wong, 2020. "A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving," Papers 2004.06880, arXiv.org.
  9. Karthik Sriram & Peng Shi, 2021. "Stochastic loss reserving: A new perspective from a Dirichlet model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(1), pages 195-230, March.
  10. Ihsan Chaoubi & Camille Besse & H'el`ene Cossette & Marie-Pier C^ot'e, 2022. "Micro-level Reserving for General Insurance Claims using a Long Short-Term Memory Network," Papers 2201.13267, arXiv.org.
  11. Himchan Jeong & Dipak Dey, 2020. "Application of a Vine Copula for Multi-Line Insurance Reserving," Risks, MDPI, vol. 8(4), pages 1-23, October.
  12. Maciak, Matúš & Okhrin, Ostap & Pešta, Michal, 2021. "Infinitely stochastic micro reserving," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 30-58.
  13. Lindholm, Mathias & Verrall, Richard, 2020. "Regression based reserving models and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 109-124.
  14. Jonas Harnau, 2018. "Misspecification Tests for Log-Normal and Over-Dispersed Poisson Chain-Ladder Models," Risks, MDPI, vol. 6(2), pages 1-25, March.
  15. D. Kuang & B. Nielsen & J. P. Nielsen, 2008. "Forecasting with the age-period-cohort model and the extended chain-ladder model," Biometrika, Biometrika Trust, vol. 95(4), pages 987-991.
  16. Portugal, Luís & Pantelous, Athanasios A. & Verrall, Richard, 2021. "Univariate and multivariate claims reserving with Generalized Link Ratios," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 57-67.
  17. Kris Peremans & Stefan Van Aelst & Tim Verdonck, 2018. "A Robust General Multivariate Chain Ladder Method," Risks, MDPI, vol. 6(4), pages 1-18, September.
  18. Bischofberger, Stephan M. & Hiabu, Munir & Mammen, Enno & Nielsen, Jens Perch, 2019. "A comparison of in-sample forecasting methods," Computational Statistics & Data Analysis, Elsevier, vol. 137(C), pages 133-154.
  19. Nataliya Chukhrova & Arne Johannssen, 2017. "State Space Models and the K alman -Filter in Stochastic Claims Reserving: Forecasting, Filtering and Smoothing," Risks, MDPI, vol. 5(2), pages 1-23, May.
  20. Alex Isakson & Simone Krummaker & María Dolores Martínez-Miranda & Ben Rickayzen, 2021. "Calendar Effect and In-Sample Forecasting Applied to Mesothelioma Mortality Data," Mathematics, MDPI, vol. 9(18), pages 1-17, September.
  21. Boj del Val, Eva & Costa Cor, Teresa, 2017. "Provisions for claims outstanding, incurred but not reported, with generalized linear models: prediction error formulated according to calendar year," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
  22. María Dolores Martínez Miranda & Bent Nielsen & Jens Perch Nielsen, 2015. "Inference and forecasting in the age–period–cohort model with unknown exposure with an application to mesothelioma mortality," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(1), pages 29-55, 01.
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