Related papers: A three dimensional stochastic Model for Claim Res…
The appropriate estimation of incurred but not reported (IBNR) reserves is traditionally one of the most important task of actuaries working in casualty and property insurance. As certain claims are reported many years after their…
The paper proposes an original methodology for constructing quantitative statistical models based on multidimensional distribution functions constructed on the basis of the insurance companies' data on inshurance policies (including…
Currently, legal requirements demand that insurance companies increase their emphasis on monitoring the risks linked to the underwriting and asset management activities. Regarding underwriting risks, the main uncertainties that insurers…
Claims reserving, also known as Incurred But Not Reported (IBNR) claims prediction, is an important issue in general insurance. State space modeling is widely recognized as a statistically robust method for addressing this problem. In state…
In this paper the utility optimization problem for a general insurance model is studied. The reserve process of the insurance company is described by a stochastic differential equation driven by a Brownian motion and a Poisson random…
Traditional non-life reserving models largely neglect the vast amount of information collected over the lifetime of a claim. This information includes covariates describing the policy, claim cause as well as the detailed history collected…
We propose a stochastic model allowing property and casualty insurers with multiple business lines to measure their liabilities for incurred claims risk and calculate associated capital requirements. Our model includes many desirable…
Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled. A well-known and widely used technique is the chain-ladder method, which is a deterministic…
An intensive research sprang up for stochastic methods in insurance during the past years. To meet all future claims rising from policies, it is requisite to quantify the outstanding loss liabilities. Loss reserving methods based on…
We develop a class of non-life reserving models using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an essentially arbitrary choice of a priori distribution for the ultimate loss. Taking an…
In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…
Claim reserving in insurance has been studied through two primary frameworks: the macro-level approach, which estimates reserves at an aggregate level (e.g., Chain-Ladder), and the micro-level approach, which estimates reserves at the…
We propose a stochastic model for claims reserving that captures dependence along development years within a single triangle. This dependence is of autoregressive form of order $p$ and is achieved through the use of latent variables. We…
A common approach to the claims reserving problem is based on generalized linear models (GLM). Within this framework, the claims in different origin and development years are assumed to be independent variables. If this assumption is…
The occurrence of a claim often impacts not one but multiple insurance coverages provided in the contract. To account for this multivariate feature, we propose a new individual claims reserving model built around the activation of the…
In the current insurance literature, prediction of insurance claims in the regression problem is often performed with a statistical model. This model-based approach may potentially suffer from several drawbacks: (i) model misspecification,…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical…
Due to the presence of reporting and settlement delay, claim data sets collected by non-life insurance companies are typically incomplete, facing right censored claim count and claim severity observations. Current practice in non-life…
This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…
In this paper we examine the claims reserving problem using Tweedie's compound Poisson model. We develop the maximum likelihood and Bayesian Markov chain Monte Carlo simulation approaches to fit the model and then compare the estimated…