Per citar aquest document:
Statistical modelling and forecasting of outstanding liabilities in non-life insurance
Martínez-Miranda, María Dolores (Universidad de Granada. Departamento de Estadística)
Perch Nielsen, Jens (City University (London). Cass Business School)
Wüthrich, Mario V. (ETH Zurich, RiskLab. Department of Mathematics)

Data: 2012
Resum: Non-life insurance companies need to build reserves to meet their claims liability cash flows. They often work with aggregated data. Recently it has been suggested that better statistical properties can be obtained when more aggregated data are available for statistical analysis than just the classical aggregated payments. When also the aggregated number of claims is available one can define a full statistical model of the nature of the number of claims, their delay until payment and the nature of these payments. In this paper we provide a new development in this direction by entering yet another set of aggregated data, namely the number of payments and when they occurred. A new element of our statistical analysis is that we are able to incorporate inflationary trends of payments in a direct and explicit way. Our new method is illustrated on a real life data set.
Drets: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Llengua: Anglès
Document: article ; recerca ; publishedVersion
Matèria: Outstanding loss liabilities ; Claims settlement process ; Claims reserving ; Chain ladder method ; Individual claims data ; Prediction uncertainty ; Bootstrap ; Early warning systems
Publicat a: SORT : statistics and operations research transactions, Vol. 36, Núm. 2 (juliol-desembre 2012) , p. 195-218, ISSN 1696-2281

Adreça original:

24 p, 224.6 KB
 Accés restringit a la UAB

El registre apareix a les col·leccions:
Articles > Articles publicats > SORT
Articles > Articles de recerca

 Registre creat el 2013-01-09, darrera modificació el 2017-05-19

   Favorit i Compartir