This article proposes a new loss reserving approach, inspired from the collective model of risk theory. According to the collective paradigm, we do not relate payments to specific claims or policies, but we work within a frequency-severity setting, with a number of payments in every cell of the run-off triangle, together with the corresponding paid amounts. Compared to the Tweedie reserving model, which can be seen as a compound sum with Poisson-distributed number of terms and Gamma-distributed summands, we allow here for more general severity distributions, typically mixture models combining a light-tailed component with a heavier-tailed one, including inflation effects. The severity model is fitted to individual observations and not to ag...
The vast literature on stochastic loss reserving concentrates on data aggregated in run-off triangle...
In excess-of-loss reinsurance, only claims with incurred loss above a reporting threshold speci_ed i...
In general insurance, the evaluation of future cash flows and solvency capital has become increasing...
This paper adopts the new loss reserving approach proposed by Denuit and Trufin (2016), inspired fro...
This paper adopts the new loss reserving approach proposed by Denuit and Trufin (2016),inspired from...
In this paper, the individual claim reserving model proposed by Pigeon et al. (2013) is extended to ...
This paper proposes a new loss reserving approach, combining a collective model for losses with a re...
The main purpose of this paper is to assess and demonstrate the advantage of claims reserving models...
The evaluation of outstanding claims uncertainty plays a fundamental role in managing insurance comp...
david l. homer and richard a. rosengarten The Collective Risk Model (CRM) constructs aggregate losse...
The evaluation of future cash flows and solvency capital recently gained importance in general insur...
The evaluation of future cash flows and solvency capital recently gained importance in general insur...
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insu...
The evaluation of future cash flows and solvency capital recently gained importance in general insur...
abstract: The use of generalized linear models in loss reserving is not new; many statistical models...
The vast literature on stochastic loss reserving concentrates on data aggregated in run-off triangle...
In excess-of-loss reinsurance, only claims with incurred loss above a reporting threshold speci_ed i...
In general insurance, the evaluation of future cash flows and solvency capital has become increasing...
This paper adopts the new loss reserving approach proposed by Denuit and Trufin (2016), inspired fro...
This paper adopts the new loss reserving approach proposed by Denuit and Trufin (2016),inspired from...
In this paper, the individual claim reserving model proposed by Pigeon et al. (2013) is extended to ...
This paper proposes a new loss reserving approach, combining a collective model for losses with a re...
The main purpose of this paper is to assess and demonstrate the advantage of claims reserving models...
The evaluation of outstanding claims uncertainty plays a fundamental role in managing insurance comp...
david l. homer and richard a. rosengarten The Collective Risk Model (CRM) constructs aggregate losse...
The evaluation of future cash flows and solvency capital recently gained importance in general insur...
The evaluation of future cash flows and solvency capital recently gained importance in general insur...
This paper is intended as a guide to building insurance risk (loss) models. A typical model for insu...
The evaluation of future cash flows and solvency capital recently gained importance in general insur...
abstract: The use of generalized linear models in loss reserving is not new; many statistical models...
The vast literature on stochastic loss reserving concentrates on data aggregated in run-off triangle...
In excess-of-loss reinsurance, only claims with incurred loss above a reporting threshold speci_ed i...
In general insurance, the evaluation of future cash flows and solvency capital has become increasing...