相关论文: Bridging the gap between pricing and reserving wit…
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…
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…
A delay between the occurrence and the reporting of events often has practical implications such as for the amount of capital to hold for insurance companies, or for taking preventive actions in case of infectious diseases. The accurate…
Survival analysis is a statistical technique used to estimate the time until an event occurs. Although it is applied across a wide range of fields, adjusting for reporting delays under practical constraints remains a significant challenge…
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…
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…
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…
The net-premium principle is considered to be the most genuine and fair premium principle in actuarial applications. However, an insurance company, applying the net-premium principle, goes bankrupt with probability one in the long run, even…
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 project works with the risk model developed by Li et al. (2015) and quests modelling, estimating and pricing insurance for risks brought in by innovative technologies, or other emerging or latent risks. The model considers two…
In this paper, non-life insurance claims were modelled under the three parameter discrete generalised Pareto distribution. Data from the National Insurance Commission of Ghana on reported and settled claims were considered for the period…
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 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…
Random delays between the occurrence of accident events and the corresponding reporting times of insurance claims is a standard feature of insurance data. The time lag between the reporting and the processing of a claim depends on whether…
Traditionally, actuaries have used run-off triangles to estimate reserve ("macro" models, on agregated data). But it is possible to model payments related to individual claims. If those models provide similar estimations, we investigate…
Death benefits are generally the largest cash flow item that affects financial statements of life insurers where some still do not have a systematic process to track and monitor death claims experience. In this article, we explore data…
At the core of insurance business lies classification between risky and non-risky insureds, actuarial fairness meaning that risky insureds should contribute more and pay a higher premium than non-risky or less-risky ones. Actuaries,…
Our paper explores a discrete-time risk model with time-varying premiums, investigating two types of correlated claims: main claims and by-claims. Settlement of the by-claims can be delayed for one time period, representing real-world…
Non-parametric maximum likelihood estimation encompasses a group of classic methods to estimate distribution-associated functions from potentially censored and truncated data, with extensive applications in survival analysis. These methods,…
Forecasting the outstanding claim liabilities to set adequate reserves is critical for a nonlife insurer's solvency. Chain-Ladder and Bornhuetter-Ferguson are two prominent actuarial approaches used for this task. The selection between the…