Applying state space models to stochastic claims reserving

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Applying state space models to stochastic claims reserving

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Applying state space models to stochastic claims reserving

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

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

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Astin Bulletin

ISSN

0515-0361

e-ISSN

—

Svazek periodika

51

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

35

Strana od-do

267-301

Kód UT WoS článku

000609544400010

EID výsledku v databázi Scopus

2-s2.0-85099933831