Concepedia

The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas

Astin Bulletin · 1989 · 93 citations · 8 references

Open access

Concepts

BusinessInsuranceMathematicsInsurance EconomicsProbability TheoryStochastic ProcessesClaims ModelingClaims ReservingRisk TheoryLoss Distribution TheoryMultivariate Point ProcessesProbabilistic Decision ModelingReserve Estimation ModelsStochastic Claims Reserving

Abstract

Abstract We present some relatively simple structural ideas about how probabilistic modeling, and in particular, the modern theory of point processes and martingales, can be used in the estimation of claims reserves.

References

8

Point Processes and Queues: Martingale Dynamics.

D. Vere‐Jones, Pierre Brémaud · Journal of the American Statistical Association · 1983 · 1.1K citations

Engineering, Mathematics, Probability Theory +16

Point Processes and Their Statistical Inference.

Richard F. Serfozo, Alan F. Karr · Journal of the American Statistical Association · 1993 · 380 citations

Natural Sciences, Mathematics, Probability Theory +13

Point Processes and Their Statistical Inference.

Frank Ball, Alan F. Karr · Journal of the Royal Statistical Society Series A (Statistics in Society) · 1988 · 159 citations

Natural Sciences, Mathematics, Probability Theory +13

Predicting Ibnyr Events and Delays: I. Continuous Time

William S. Jewell · Astin Bulletin · 1989 · 66 citations · Full text

Computing, Biostatistics, Forecasting +16

A contribution to modelling of IBNR claims

Ragnar Norberg · Scandinavian Actuarial Journal · 1986 · 61 citations · Full text

Business, Insurance, Statistics +16