Related papers: A Marked Cox Model for IBNR Claims: Model and Theo…
Accurate loss reserving is crucial in Property and Casualty (P&C) insurance for financial stability, regulatory compliance, and effective risk management. We propose a novel micro-level Cox model based on hidden Markov models (HMMs).…
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve…
We introduce new approaches for forecasting IBNR (Incurred But Not Reported) frequencies by leveraging individual claims data, which includes accident date, reporting delay, and possibly additional features for every reported claim. A key…
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…
We revisit Schnieper's model, which decomposes incurred but not reported (IBNR) reserves into two components: reserves for newly reported claims (true IBNR) and reserves for changes over time in the estimated cost of already reported claims…
This paper considers a particular renewal-reward process with multivariate discounted rewards (inputs) where the arrival epochs are adjusted by adding some random delays. Then this accumulated reward can be regarded as multivariate…
We consider a general $k$ dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (claims) are given by a $k$ dimensional finite state Markov…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
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…
The reporting delay in data breach incidents poses a formidable challenge for Incurred But Not Reported (IBNR) studies, complicating reserve estimation for actuarial professionals. This work presents a novel Bayesian nowcasting model…
This paper introduces a unified micro-level stochastic framework for the joint modeling of loss reserves (RBNS), incurred but not reported (IBNR) reserves, and unearned premium risk under dependence, inflation, and discounting. The proposed…
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…
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This process can be used to describe the aggregate (discounted)…
Point processes in time have a wide range of applications that include the claims arrival process in insurance or the analysis of queues in operations research. Due to advances in technology, such samples of point processes are increasingly…
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…
Disability insurance claims are often affected by lengthy reporting delays and adjudication processes. The classic multistate life insurance modeling framework is ill-suited to handle such information delays since the cash flow and…
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing…
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 consider the problem of estimating the distribution of time-to-event data that are subject to censoring and for which the event of interest might never occur, i.e., some subjects are cured. To model this kind of data in the presence of…
Within the Solvency II framework the insurance industry requires a realistic modelling of the risk processes relevant for its business. Every insurance company should be capable of running a holistic risk management process to meet this…