Applying state space models to stochastic claims reserving

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10420953" target="_blank" >RIV/00216208:11320/21:10420953 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=airw-fpw1V" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=airw-fpw1V</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1017/asb.2020.38" target="_blank" >10.1017/asb.2020.38</a>

Result language

angličtina

Original language name

Applying state space models to stochastic claims reserving

Original language description

The paper solves the loss reserving problem using Kalman recursions in linear state space models. In particular, if one orders claims data from run off triangles to time series with missing observations, then state space formulation can be applied for projections or interpolations of IBNR reserves. Namely, outputs of the corresponding Kalman recursion algorithms for missing or future observations can be taken as the IBNR projections. In particular, by means of such recursive procedures one can perform effectively simulations in order to estimate numerically the distribution of IBNR claims which may be very useful in terms of setting and/or monitoring of prudency level of loss reserves. Moreover, one can generalize this approach to the multivariate case of several dependent run off triangles for correlated business lines and the outliers in claims data can be also treated effectively in this way. Results of a numerical study for several sets of claims data (univariate and multivariate ones) are presented.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2021

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Astin Bulletin

ISSN

0515-0361

e-ISSN

—

Volume of the periodical

51

Issue of the periodical within the volume

1

Country of publishing house

GB - UNITED KINGDOM

Number of pages

35

Pages from-to

267-301

UT code for WoS article

000609544400010

EID of the result in the Scopus database

2-s2.0-85099933831