Στοχαστικά μοντέλα αποθεμάτων για την εκτίμηση των διαγώνιων επιδράσεων και πρόβλεψη των RBNS και IBNR απαιτήσεων
Stochastic claims reserving for diagonal effects and prediction of RBNS and IBNR claims
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Keywords
Chain Ladder ; IBNR ; RBNSAbstract
Theoretically we can predict future losses, this can be achieved by using the Chain Ladder method. We will analyze its theory as well as its definitions. The Chain Ladder method is used to predict the future reserve needed to cover losses that have incurred but have not been reported and those that have been reported but have not been settled. It is the most popular method for claim reserve as claims are estimated to be expected to be made using historical data. It mainly provides the claims that has been incurred but has not been reported (IBNR) and the final claim amount that will incur. We will observe the generalized form of the Chain Ladder method as well as its various extensions. For example, a version of it in a Poisson model or its combination with the Bornheutter-Ferguson method. Also, how the diagonal effects can be included in the non-life insurance based on triangles of historic data. Also, a Stochastic Poisson model will be introduced that includes the delay from the time a claim incurs to its report (IBNR delay) and the delay from the time a claim is reported to its full settlement (the RBNS delay). Finally, we present a thoughtful cluster Poisson model that predicts number of claims and total claim amounts for a year.
Postgraduate Studies Programme
Αναλογιστική Επιστήμη και Διοικητική ΚινδύνουDepartment
Σχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Στατιστικής και Ασφαλιστικής ΕπιστήμηςNumber of pages
122Language
GreekCollections
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Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα