相关论文: Individual claims reserving using the Aalen--Johan…

Continuous-time multi-state survival models can be used to describe health-related processes over time. In the presence of interval-censored times for transitions between the living states, the likelihood is constructed using transition…

We propose an estimation method for the conditional mode when the conditioning variable is high-dimensional. In the proposed method, we first estimate the conditional density by solving quantile regressions multiple times. We then estimate…

We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a…

We revisit the famous Mack's model which gives an estimate for the conditional mean squared error of prediction of the chain-ladder claims reserves. We introduce a stochastic differential equation driven by a Brownian motion to model the…

Population size estimation based on two sample capture-recapture type experiment is an interesting problem in various fields including epidemiology, pubic health, population studies, etc. The Lincoln-Petersen estimate is popularly used…

We develop a multi-state model to estimate the size of a closed population from ecological capture-recapture studies. We consider the case where capture-recapture data are not of a simple binary form, but where the state of an individual is…

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…

Kaplan-Meier estimators are essential tools in survival analysis, capturing the survival behavior of a cohort. Their accuracy improves with large, diverse datasets, encouraging data holders to collaborate for more precise estimations.…

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 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…

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…

Motivated by the need to analyze continuously updated data sets in the context of time-to-event modeling, we propose a novel nonparametric approach to estimate the conditional hazard function given a set of continuous and discrete…

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…

Statistical inference in competing risks models is often based on the famous Aalen-Johansen estimator. Since the corresponding limit process lacks independent increments, it is typically applied together with Lin's (1997) resampling…

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…

The paper describes a new class of capture-recapture models for closed populations when individual covariates are available. The novelty consists in combining a latent class model for the distribution of the capture history, where the class…

This paper considers the Cram\'er-Lundberg model, with the additional feature that the number of clients can fluctuate over time. Clients arrive according to a Poisson process, where the times they spend in the system form a sequence of…

This work is the first attempt to treat partial differential equations with discrete (concentrated) state-dependent delay. The main idea is to approximate the discrete delay term by a sequence of distributed delay terms (all with…

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…

The well known van Kampen system size expansion, while of rather general applicability, is shown to fail to reproduce some qualitative features of the time evolution for systems with an absorbing state, apart from a transient initial time…