Conditional least squares and copulae in claims reserving for a single line of business

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Conditional least squares and copulae in claims reserving for a single line of business

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Conditional least squares and copulae in claims reserving for a single line of business

Popis výsledku anglicky

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.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BA - Obecná matematika

OECD FORD obor

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Projekt

<a href="/cs/project/GP13-12994P" target="_blank" >GP13-12994P: Stochastické rezervování škod a statistická inference v pojišťovnictví</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2014

Kód důvěrnosti údajů

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

Název periodika

Insurance: Mathematics and Economics

ISSN

0167-6687

e-ISSN

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Svazek periodika

56

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

10

Strana od-do

28-37

Kód UT WoS článku

000337852600003

EID výsledku v databázi Scopus

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