State-space modeling of claims reserves in non-life insurance

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10468012" target="_blank" >RIV/00216208:11320/21:10468012 - isvavai.cz</a>
Result on the web
—
DOI - Digital Object Identifier
—

Result language
angličtina
Original language name
State-space modeling of claims reserves in non-life insurance
Original language description
One of the fundamental activities of insurance companies is the calculation of technical reserves. The available data are usually considered in the form of run-off triangles. Prediction of unknown values, which are the basis for the calculation of reserves, can be constructed not only using simple approaches such as chain-ladder, but also using advanced methods such as state-space modeling. This paper focuses on the construction of Kalman projections of the values in dependent run-off triangles, which can be considered in the form of a time series with missing observations. Since the quantiles, currently the preferred risk measure, or even the whole distribution of the reserves are highly important, their estimation using smoothed bootstrap is also the content of this work. The proposed methods are applied to real data consisting of two dependent run-off triangles in order to verify their applicability in practice. The obtained results are compared to the ones obtained by other procedures.
Czech name
—
Czech description
—

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

Article name in the collection
39TH INTERNATIONAL CONFERENCE ON MATHEMATICAL METHODS IN ECONOMICS (MME 2021)
ISBN
978-80-213-3126-6
ISSN
—
e-ISSN
—
Number of pages
6
Pages from-to
511-516
Publisher name
Czech Univ Life Sciences Prague
Place of publication
Prague 6
Event location
Prague
Event date
Sep 8, 2021
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000936369700085

Similar results(10)