Obiekt

Tytuł: Estimation of Incurred but Not yet Reported Claims Based on Poisson Distributed Reporting Delay

Autor:

Gerthofer, Michal ; Sládek, Václav ; Zimmermann, Pavel

Opis:

20-th AMSE. Applications of Mathematics and Statistics in Economics. International Scientific Conference: Szklarska Poręba, 30 August- 3 September 2017. Conference Proceedings Full Text Papers, s. 183-194

Abstrakt:

A claim frequency model, which estimates number of claims that incurred but are not reported (IBNR), is a key component of an insurer’s future liability prediction. Several possible modelling approaches were developed in the past. Chain ladder method is a particularly popular distribution free method, which models development of the cumulative liability through weighted averages of the past development factors. The assumption of this model is that developments of the cumulative claims for each occurrence year are independent. If a trend is identified in occurrence years, predictions are biased. A modification of this method can be applied to relax this assumption. For example, development factors, can be extrapolated to the future by a trend function. Other approaches may be based e.g. on variety of regression specifications. In this contribution, a new approach is presented, which is based on the assumption that number of discrete years until the claim is registered has Poisson distribution. The mean of this distribution is estimated by maximum likelihood method, taking in to account that observations are truncated. An empirical study is presented and our approach is compared with the traditional Chain ladder method as well as the above-mentioned modification

Wydawca:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Miejsce wydania:

Wrocław

Data wydania:

2017

Typ zasobu:

materiały konferencyjne

Identyfikator zasobu:

doi:10.15611/amse.2017.20.14 ; oai:dbc.wroc.pl:39111

Język:

eng

Powiązania:

20-th AMSE. Applications of Mathematics and Statistics in Economics. International Scientific Conference: Szklarska Poręba, 30 August- 3 September 2017. Conference Proceedings Full Text Papers

Prawa:

Wszystkie prawa zastrzeżone (Copyright)

Prawa dostępu:

Dla wszystkich w zakresie dozwolonego użytku

Lokalizacja oryginału:

Uniwersytet Ekonomiczny we Wrocławiu

Kolekcje, do których przypisany jest obiekt:

Data ostatniej modyfikacji:

2019-05-17

Data dodania obiektu:

2018-01-03

Liczba wyświetleń treści obiektu:

99

Liczba wyświetleń treści obiektu w formacie PDF

94

Wszystkie dostępne wersje tego obiektu:

https://dbc.wroc.pl/publication/43446

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