Related papers: Copula-based Modeling for IBNR Claim Loss Reservin…
Incurred but not reported (IBNR) loss reserving is an important issue for Property & Casualty (P&C) insurers. The modeling of the claim arrival process, especially its temporal dependence, has not been closely examined in many of the…
One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims…
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 present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive…
Modeling the dependence between multiple risk types is a central challenge in contemporary insurance risk management. The standard approaches, L\'evy copulas and zero-mixed models, often face practical difficulties in simulation and…
Analysing dependent risks is an important task for insurance companies. A dependency is reflected in the fact that information about one random variable provides information about the likely distribution of values of another random…
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 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…
In actuarial research, a task of particular interest and importance is to predict the loss cost for individual risks so that informative decisions are made in various insurance operations such as underwriting, ratemaking, and capital…
A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of…
Our article considers the class of recently developed stochastic models that combine claims payments and incurred losses information into a coherent reserving methodology. In particular, we develop a family of Heirarchical Bayesian…
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…
We propose a copula based method to handle missing values in multivariate data of mixed types in multilevel data sets. Building upon the extended rank likelihood of \cite{hoff2007extending} and the multinomial probit model, our model is a…
This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…
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…
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).…
In this article, a copula-based method for mixed regression models is proposed, where the conditional distribution of the response variable, given covariates, is modelled by a parametric family of continuous or discrete distributions, and…
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect 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…
We propose a dependence-aware predictive modeling framework for multivariate risks stemmed from an insurance contract with bundling features - an important type of policy increasingly offered by major insurance companies. The bundling…