پیوندهای مفید
اخبار و اعلانات
آمار
| تعداد نشریات | 61 |
| تعداد شمارهها | 2,230 |
| تعداد مقالات | 18,284 |
| تعداد مشاهده مقاله | 56,157,573 |
| تعداد دریافت فایل اصل مقاله | 29,082,210 |
Prediction of outstanding IBNR liabilities using delay probability | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 1، شماره 2، اسفند 2021، صفحه 37-47 اصل مقاله (396.69 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2021.13839 | ||
| نویسندگان | ||
| Fatemeh Atatalab1؛ Amir Teimour Payandeh Najafabadi* 2 | ||
| 1Department of Actuarial Science, Shahid Beheshti University, Theran, Iran | ||
| 2Department of Actuarial Science, Shahid Beheshti University, Tehran, Iran | ||
| چکیده | ||
| An important question in non life insurance research is the estimation of number of future payments and corresponding amount of them. A loss reserve is the money set aside by insurance companies to pay policyholders claims on their policies. The policyholder behavior for reporting claims after its occurrence have significant effect on the costs of the insurance company. This article considers the problem of predicting the amount and number of claims that have been incurred but not reported, say IBNR. Using the delay probabilities in monthly level, calculated by the Zero Inflated Gamma Mixture distribution, it predicts IBNR's loss reserve. The model advantage in the IBNR reserve is insurers can predict the number of future claims for each future date. This enables them to change the claim reporting process. The practical applications of our findings are applied against a third party liability (TPL) insurance loss portfolio. Additional information about claim can be considered in the loss reserving model and making the prediction of amount more accurate. | ||
| کلیدواژهها | ||
| Insurance؛ Loss reserve؛ EM algorithm؛ Zero-Inflated Gamma Mixture distribution | ||
| مراجع | ||
|
[1] K. ANTONIO, R. PLAT, Micro-level stochastic loss reserving for general insurance, Scandinavian Actuarial Journal, 7(2014), 649-669. [2] A.L. BADESCU, X.S. LIN, D. TANG, A marked Cox model for the number of IBNR claims: theory, Insurance: Mathematics and Economics, 69(2016), 29-37. [3] A.L. BADESCU, T. CHEN, X.S. LIN, AND D. TANG, A marked COX model for the number of IBNR claims: estimation and application, ASTIN Bulletin: The Journal of the IAA, 49(2019), 709-739. [4] J. CREVECOEUR, K. ANTONIO, AND R. VERBELEN, A Time Change Strategy to Model Reporting Delay Dynamics in Claims Reserving, The 3rd Europen Actuarial Journal conference, (2018), KU Leuven, Belgium. [5] J. CREVECOEUR, K. ANTONIO, AND R. VERBELEN, Modeling the number of hidden events subject to observation delay, European Journal of Operational Research, 277(2019), 930-944. [6] V.R. DA SILVA, A. YONGACOGLU, EM algorithm on the approximation of arbitrary pdfs by gaussian, gamma and lognormal mixture distributions, The 7th IEEE Latin-American Conference on Communications, LATINCOM, IEEE, (2015). [7] M. GHARIB, Two characterisations of a gamma mixture distribution, Bulletin of the Australian Mathematical Society, 52(1995), 353-358. [8] M.D. MARTINEZ-MIRANDA, J.P. NIELSEN, AND R.J. VERRALL, Double chain ladder, ASTIN Bulletin: The Journal of the IAA, 42(2012), 59-76. [9] M.D. MARTINEZ-MIRANDA, J.P. NIELSEN AND R.J. VERRALL, Double chain ladder and Bornhuetter-Ferguson, North American Actuarial Journal, 17(2013a), 101-113. [10] M.D. MARTINEZ-MIRANDA, J.P. NIELSEN, S. SPERLICH, AND R.J. VERRALL, Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem, Expert Systems with Applications, 40(2013b), 5588-5603. [11] T.K. MOON, The expectation-maximization algorithm, IEEE Signal Processing Magazine, 13(1996), 48-60. [12] R. VERBELEN, K. ANTONIO, G. CLAESKENS, AND J. CREVECOEUR, Modeling the occurrence of events subject to a reporting delay via an EM algorithm, arXiv:1909.08336, (2019). [13] R.J. VERRALL, J.P. NIELSEN, AND A. H. JESSEN, Prediction of RBNS and IBNR Claims using Claim Amounts and Claim Counts, ASTIN Bulletin: The Journal of the IAA, 40(2010), 871-887. [14] R.J. VERRALL, M.V. WUTHRICH, Understanding reporting delay in general insurance, Risks, 4(2016),1-36. | ||
|
آمار تعداد مشاهده مقاله: 766 تعداد دریافت فایل اصل مقاله: 785 |
||
Scholarly Journals Management System © 1991.05.01 by Allameh Tabatabaei University is
licensed under Attribution-NonCommercial 4.0 International.