Lognormal Mixed Models for Reported Claims Reserves
نویسندگان
چکیده
منابع مشابه
A Lognormal Model for Insurance Claims Data
• In the insurance area, especially based on observations of the number of claims, N(w), corresponding to an exposure w, and on observations of the total amount of claims incurred, Y (w), the risk theory arises to quantify risks and to fit models of pricing and insurance company ruin. However, the main problem is the complexity to obtain the distribution function of Y (w) and, consequently, the...
متن کاملestimating claims reserves using ibnr reserves
شرکت های بیمه در قبال بیمه گذاران متعهد می شوند که به ازای دریافت حق بیمه، خسارت وارده به بیمه گذاران را جبران نمایند. بنابراین بیمه گر همیشه مبالغی را بر عهده دارد که متعلق به بیمه گذاران است و مربوط به تعهدات آینده می باشد. این مبالغ را ذخایر فنی یا technical reserves گویند. بیمه گر موظف است در پایان سال مالی، هنگام بستن حساب ها، ذخایر فنی را محاسبه و نگهداری کند. پس از وقوع خسارت، بیمه گذار ...
Bayesian Estimation of Outstanding Claims Reserves
When a given process is seasonal and the seasonal pattern is stable the proportion of events that occur in a given fraction of the total period of the seasonality is constant over time. In this paper we present an application of Bayesian forecasting methods with stable seasonal patterns to insurance claims; specifically to claims incurred but not yet reported, IBNR. We assume that the time it t...
متن کاملThe One-Year Runoff Uncertainty for Discounted Claims Reserves
In old accounting tradition, non-life insurance companies have estimated nominal claims reserves for their outstanding loss liabilities. The new Solvency II developments require from non-life insurance companies that they go over to a market-consistent valuation of their insurance liabilities (full balance sheet approach) and that they prove solvency on a yearly basis. As a consequence non-life...
متن کاملLognormal and Gamma Mixed Negative Binomial Regression
In regression analysis of counts, a lack of simple and efficient algorithms for posterior computation has made Bayesian approaches appear unattractive and thus underdeveloped. We propose a lognormal and gamma mixed negative binomial (NB) regression model for counts, and present efficient closed-form Bayesian inference; unlike conventional Poisson models, the proposed approach has two free param...
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ژورنال
عنوان ژورنال: North American Actuarial Journal
سال: 2006
ISSN: 1092-0277,2325-0453
DOI: 10.1080/10920277.2006.10596238