Modelling Outstanding Claims with Mixed Compound Processes in Insurance

نویسندگان
چکیده

برای دانلود رایگان متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Prediction of outstanding insurance claims ∗ Claudia

Building reserves for outstanding liabilities is an important issue in the financial statement of any insurance company. In this paper we present a new model for delay in claim settlement and to predict IBNR (incurred but not reported) claims. The modelling is based on a data set of a portfolio of car liability data, which describes the claim settlement of a car insurance portfolio. The data co...

متن کامل

Simulating Ruin Probabilities in Insurance Risk Processes with Subexponential Claims

We describe a fast simulation framework for simulating small ruin probabilities in insurance risk processes with subexponential claims. Naive simulation is inefficient since the event of interest is rare, and special simulation techniques like importance sampling need to be used. An importance sampling change of measure known as sub-exponential twisting has been found useful for some rare event...

متن کامل

Bayesian Modelling of Outstanding Liabilities in Non-Life Insurance

This dissertation focuses on the stochastic modelling of outstanding liabilities in non-life insurance, using Bayesian Statistics. Credible intervals and various statistical estimates can then be derived, whereas this is not the case with the numerical methods commonly used in the industry, such as the Chain Ladder, which only give point estimates. We ignore the claim numbers and concentrate on...

متن کامل

Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling

We reconsider the problem of producing fair and accurate tariffs based on aggregated insurance data giving numbers of claims and total costs for the claims. Jorgensen and de Souza (Scand. Actuarial J., 1994) assumed Poisson arrival of claims and gamma distributed costs for individual claims. Jorgensen and de Souza (1994) directly modelled the risk or expected cost of claims per insured unit, p ...

متن کامل

Extreme Value Modelling of Water-related Insurance Claims

This paper considers the dependence between weather events, e.g., rainfall or snow-melt, and the number of water-related property insurance claims. Weather events which cause severe damages are of general interest, decision makers want to take efficient actions against them while the insurance companies want to set adequate premiums. The modelling is challenging since the underlying dynamics va...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: International Business Research

سال: 2019

ISSN: 1913-9012,1913-9004

DOI: 10.5539/ibr.v12n3p123