Stochastic loss reserving using individual information model with over-dispersed Poisson

Stochastic loss reserving using individual information model with over-dispersed Poisson

For stochastic loss reserving, we propose an individual information model (IIM) which accommodates not only individual/micro data consisting of incurring times, reporting developments, settlement developments as well as payments of individual claims but also heterogeneity among policies. We give ove...

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Bibliographic Details
Main Authors: Zhigao Wang, Xianyi Wu, Chunjuan Qiu
Format: Article
Language:English
Published: Taylor & Francis Group 2022-05-01
Series:Statistical Theory and Related Fields
Subjects:
risk management
loss reserving
individual information model
over-dispersed poisson
quasi-likelihood
msep
Online Access:http://dx.doi.org/10.1080/24754269.2021.1898181

Internet

http://dx.doi.org/10.1080/24754269.2021.1898181

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