Statistical modelling and forecasting of outstanding liabilities in non-life insurance
Visualitza/Obre
Estadístiques de LA Referencia / Recolecta
Inclou dades d'ús des de 2022
Cita com:
hdl:2099/13323
Tipus de documentArticle
Data publicació2012
EditorInstitut d'Estadística de Catalunya
Condicions d'accésAccés obert
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continguts d'aquesta obra estan subjectes a la llicència de Creative Commons
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Reconeixement-NoComercial-SenseObraDerivada 3.0 Espanya
Abstract
Non-life insurance companies need to build reserves to meet their claims liability cash flows. They
often work with aggregated data. Recently it has been suggested that better statistical properties
can be obtained when more aggregated data are available for statistical analysis than just the
classical aggregated payments. When also the aggregated number of claims is available one can
define a full statistical model of the nature of the number of claims, their delay until payment and
the nature of these payments. In this paper we provide a new development in this direction by
entering yet another set of aggregated data, namely the number of payments and when they
occurred. A new element of our statistical analysis is that we are able to incorporate inflationary
trends of payments in a direct and explicit way. Our new method is illustrated on a real life data set
CitacióMartínez-Miranda, María Dolores; Nielsen, Jens Perch; Wüthrich, Mario V. Statistical modelling and forecasting of outstanding liabilities in non-life insurance. "SORT", vol. 36, núm. 2, p. 195-218.
ISSN1696-2281
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