Conditional least squares and copulae in claims reserving for a single line of business
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F14%3A10282199" target="_blank" >RIV/00216208:11320/14:10282199 - isvavai.cz</a>
Result on the web
<a href="http://dx.doi.org/10.1016/j.insmatheco.2014.02.007" target="_blank" >http://dx.doi.org/10.1016/j.insmatheco.2014.02.007</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.insmatheco.2014.02.007" target="_blank" >10.1016/j.insmatheco.2014.02.007</a>
Alternative languages
Result language
angličtina
Original language name
Conditional least squares and copulae in claims reserving for a single line of business
Original language description
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 development. On contrary to the classical stochastic reserving techniques, the number of model parameters does not depend on the number of development periods, which leads to a more precise forecasting. Moreover, the time series innovations for the consecutive claims are notconsidered to be independent anymore. Conditional least squares are used to estimate model parameters and consistency of these estimates is proved. The copula approach is used for modeling the dependence structure, which improves the precision of the reserve distribution estimate as well. Real data examples are provided as an illustration of the potential benefits of the presented approach. (C) 2014 Elsevier B.V. All rights reserved.
Czech name
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Czech description
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Classification
Type
J<sub>x</sub> - Unclassified - Peer-reviewed scientific article (Jimp, Jsc and Jost)
CEP classification
BA - General mathematics
OECD FORD branch
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Result continuities
Project
<a href="/en/project/GP13-12994P" target="_blank" >GP13-12994P: Stochastic claims reserving and statistical inference in insurance</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2014
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Insurance: Mathematics and Economics
ISSN
0167-6687
e-ISSN
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Volume of the periodical
56
Issue of the periodical within the volume
1
Country of publishing house
NL - THE KINGDOM OF THE NETHERLANDS
Number of pages
10
Pages from-to
28-37
UT code for WoS article
000337852600003
EID of the result in the Scopus database
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