A Markov Model for Loss Reserving

Loss reserving using loss aversion functions

This article discusses the determination of risk capital based on “aversion” functions. Aversion functions weigh different outcomes according to perceived severity. Many practical and popular risk measures are usefully viewed in terms of aversion functions including those arising from distortion operators and risk margin loadings. The approach of this paper builds on, unifies,and extends existi...

Dependent Loss Reserving Using Copulas

Modeling the dependence among multiple loss triangles has important implications for the determination of loss reserves, a critical element of risk management and capital allocation practices of property-casualty insurers. In this article, we propose a copula regression model for dependent lines of business that can be used to predict unpaid losses and hence determine loss reserves. The propose...

Design and Practical Implementation of a New Markov Model Predictive Controller for Variable Communication Packet Loss in Network Control Systems

The current paper investigates the influence of packet losses in network control systems (NCS’s) using the model predictive control (MPC) strategy. The study focuses on two main network packet losses due to sensor to controller and controller to actuator along the communication paths. A new Markov-based method is employed to recursively estimate the probability of time delay in controller to ac...

Using Expected Loss Ratios in Reserving

Optimal and Additive Loss Reserving for Dependent Lines of Business

In the present paper we review and extend two stochastic models for loss resenting and study their impact on extensions of the additive method and of the chain-ladder method. The first of these models is a particular linear model while the second one is a sequential model which is composed of a finite number of conditional linear models. These models lead to multivariate extensions of the addit...