Individual Loss Reserving With The Multivariate Skew Normal Framework
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- Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel, 2013. "Individual Loss Reserving with the Multivariate Skew Normal Framework," LIDAM Reprints ISBA 2013028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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Cited by:
- 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.
- Jonas Crevecoeur & Katrien Antonio & Roel Verbelen, 2018. "Modeling the number of hidden events subject to observation delay," Papers 1801.02935, arXiv.org, revised Mar 2019.
- Huang, Jinlong & Wu, Xianyi & Zhou, Xian, 2016. "Asymptotic behaviors of stochastic reserving: Aggregate versus individual models," European Journal of Operational Research, Elsevier, vol. 249(2), pages 657-666.
- Łukasz Delong & Mario V. Wüthrich, 2020. "Neural Networks for the Joint Development of Individual Payments and Claim Incurred," Risks, MDPI, vol. 8(2), pages 1-34, April.
- Avanzi, Benjamin & Taylor, Greg & Wong, Bernard & Yang, Xinda, 2021. "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 9-24.
- Francis Duval & Mathieu Pigeon, 2019. "Individual Loss Reserving Using a Gradient Boosting-Based Approach," Risks, MDPI, vol. 7(3), pages 1-18, July.
- Peng Shi & Glenn M. Fung & Daniel Dickinson, 2022. "Assessing hail risk for property insurers with a dependent marked point process," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(1), pages 302-328, January.
- Richard J. Verrall & Mario V. Wüthrich, 2016. "Understanding Reporting Delay in General Insurance," Risks, MDPI, vol. 4(3), pages 1-36, July.
- Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel, 2014.
"Individual loss reserving using paid–incurred data,"
Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 121-131.
- Pigeon, Mathieu & Antonio, Katrien & Denuit, Michel, 2014. "Individual loss reserving using paid-incurred data," LIDAM Discussion Papers ISBA 2014014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Crevecoeur, Jonas & Robben, Jens & Antonio, Katrien, 2022.
"A hierarchical reserving model for reported non-life insurance claims,"
Insurance: Mathematics and Economics, Elsevier, vol. 104(C), pages 158-184.
- Jonas Crevecoeur & Jens Robben & Katrien Antonio, 2019. "A hierarchical reserving model for reported non-life insurance claims," Papers 1910.12692, arXiv.org, revised Nov 2021.
- Marie Michaelides & Mathieu Pigeon & H'el`ene Cossette, 2022. "Individual Claims Reserving using Activation Patterns," Papers 2208.08430, arXiv.org, revised Aug 2023.
- Mammen, Enno & Martínez Miranda, María Dolores & Nielsen, Jens Perch, 2015. "In-sample forecasting applied to reserving and mesothelioma mortality," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 76-86.
- Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
- Emmanuel Jordy Menvouta & Jolien Ponnet & Robin Van Oirbeek & Tim Verdonck, 2022. "mCube: Multinomial Micro-level reserving Model," Papers 2212.00101, arXiv.org.
- Greg Taylor, 2019. "Loss Reserving Models: Granular and Machine Learning Forms," Risks, MDPI, vol. 7(3), pages 1-18, July.
- 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.
- Avanzi, Benjamin & Wong, Bernard & Yang, Xinda, 2016. "A micro-level claim count model with overdispersion and reporting delays," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 1-14.
- Matias Leppisaari, 2013. "Modeling catastrophic deaths using EVT with a microsimulation approach to reinsurance pricing," Papers 1310.8604, arXiv.org.
- Alexandre Brouste & Christophe Dutang, 2016. "Closed-form and numerical computations of actuarial indicators in ruin theory and claim reserving," Post-Print hal-01616192, HAL.
- Fersini, Paola & Melisi, Giuseppe, 2016. "Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 27-44.
- Benjamin Avanzi & Gregory Clive Taylor & Bernard Wong & Xinda Yang, 2020. "On the modelling of multivariate counts with Cox processes and dependent shot noise intensities," Papers 2004.11169, arXiv.org, revised Dec 2020.
- Gao, Lisa & Shi, Peng, 2022. "Leveraging high-resolution weather information to predict hail damage claims: A spatial point process for replicated point patterns," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 161-179.
- Andrea Gabrielli & Mario V. Wüthrich, 2018. "An Individual Claims History Simulation Machine," Risks, MDPI, vol. 6(2), pages 1-32, March.
- Rendao Ye & Bingni Fang & Weixiao Du & Kun Luo & Yiting Lu, 2022. "Bootstrap Tests for the Location Parameter under the Skew-Normal Population with Unknown Scale Parameter and Skewness Parameter," Mathematics, MDPI, vol. 10(6), pages 1-23, March.
- Denuit, Michel & Trufin, Julien, 2016. "Collective Loss Reserving with Two Types of Claims in Motor Third Party Liability Insurance," LIDAM Discussion Papers ISBA 2016029, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Yanez, Juan Sebastian & Pigeon, Mathieu, 2021. "Micro-level parametric duration-frequency-severity modeling for outstanding claim payments," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 106-119.
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