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Stochastic Claims Reserving Methods In Insurance


Stochastic Claims Reserving Methods In Insurance
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Stochastic Claims Reserving Methods In Insurance


Stochastic Claims Reserving Methods In Insurance
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Author : Mario V. Wüthrich
language : en
Publisher: John Wiley & Sons
Release Date : 2008-04-30

Stochastic Claims Reserving Methods In Insurance written by Mario V. Wüthrich and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-04-30 with Business & Economics categories.


Claims reserving is central to the insurance industry. Insurance liabilities depend on a number of different risk factors which need to be predicted accurately. This prediction of risk factors and outstanding loss liabilities is the core for pricing insurance products, determining the profitability of an insurance company and for considering the financial strength (solvency) of the company. Following several high-profile company insolvencies, regulatory requirements have moved towards a risk-adjusted basis which has lead to the Solvency II developments. The key focus in the new regime is that financial companies need to analyze adverse developments in their portfolios. Reserving actuaries now have to not only estimate reserves for the outstanding loss liabilities but also to quantify possible shortfalls in these reserves that may lead to potential losses. Such an analysis requires stochastic modeling of loss liability cash flows and it can only be done within a stochastic framework. Therefore stochastic loss liability modeling and quantifying prediction uncertainties has become standard under the new legal framework for the financial industry. This book covers all the mathematical theory and practical guidance needed in order to adhere to these stochastic techniques. Starting with the basic mathematical methods, working right through to the latest developments relevant for practical applications; readers will find out how to estimate total claims reserves while at the same time predicting errors and uncertainty are quantified. Accompanying datasets demonstrate all the techniques, which are easily implemented in a spreadsheet. A practical and essential guide, this book is a must-read in the light of the new solvency requirements for the whole insurance industry.



A Comparison Of Stochastic Claims Reserving Methods


A Comparison Of Stochastic Claims Reserving Methods
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Author : Sukriye Tuysuz
language : en
Publisher:
Release Date : 2018

A Comparison Of Stochastic Claims Reserving Methods written by Sukriye Tuysuz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.


In order to preserve their solvency, it is very important for insurance companies to accurately estimate their future required reserves. The aim of this article is to determine reserves by using different stochastic models: 1) distribution-free model (Mack's model), 2) probability distribution based models (Normal, Poisson, Gamma and Inverse Gaussian distributions), and 3) these latter probability based models combined with bootstrapping. To implement these models we used data on life-insurance and non-life insurance. Our findings indicate among distribution based methods, Mack's model (dataset 1 and 2) and Gamma probability distribution based model (dataset 3) are the best model in estimating reserves. The model based on Normal distribution produces the worst results, whatever the dataset. Regarding results of bootstrapping based on probability distribution models, they show that method based on Normal probability distribution (dataset 1 and 3) and ODP distribution (dataset 2) fit better. Our results also indicate that bootstrap method based on Chain-Ladder performs quit similarly than the best fitting probability distribution based bootstrap models. Among all retained models, methods based on bootstrapping present higher good-of-fit.



Claims Reserving In General Insurance


Claims Reserving In General Insurance
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Author : David Hindley
language : en
Publisher: Cambridge University Press
Release Date : 2017-10-26

Claims Reserving In General Insurance written by David Hindley and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-10-26 with Business & Economics categories.


This is a single comprehensive reference source covering the key material on this subject, and describing both theoretical and practical aspects.



Handbook On Loss Reserving


Handbook On Loss Reserving
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Author : Michael Radtke
language : en
Publisher: Springer
Release Date : 2016-10-26

Handbook On Loss Reserving written by Michael Radtke and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-26 with Business & Economics categories.


This handbook presents the basic aspects of actuarial loss reserving. Besides the traditional methods, it also includes a description of more recent ones and a discussion of certain problems occurring in actuarial practice, like inflation, scarce data, large claims, slow loss development, the use of market statistics, the need for simulation techniques and the task of calculating best estimates and ranges of future losses. In property and casualty insurance the provisions for payment obligations from losses that have occurred but have not yet been settled usually constitute the largest item on the liabilities side of an insurer's balance sheet. For this reason, the determination and evaluation of these loss reserves is of considerable economic importance for every property and casualty insurer. Actuarial students, academics as well as practicing actuaries will benefit from this overview of the most important actuarial methods of loss reserving by developing an understanding of the underlying stochastic models and how to practically solve some problems which may occur in actuarial practice.



Bayesian Claims Reserving Methods In Non Life Insurance With Stan


Bayesian Claims Reserving Methods In Non Life Insurance With Stan
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Author : Guangyuan Gao
language : en
Publisher: Springer
Release Date : 2018-12-31

Bayesian Claims Reserving Methods In Non Life Insurance With Stan written by Guangyuan Gao and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-31 with Mathematics categories.


This book first provides a review of various aspects of Bayesian statistics. It then investigates three types of claims reserving models in the Bayesian framework: chain ladder models, basis expansion models involving a tail factor, and multivariate copula models. For the Bayesian inferential methods, this book largely relies on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.



A Comparison Of Stochastic Claim Reserving Methods


A Comparison Of Stochastic Claim Reserving Methods
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Author : Eric M. Mann
language : en
Publisher:
Release Date : 2011

A Comparison Of Stochastic Claim Reserving Methods written by Eric M. Mann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.


Estimating unpaid liabilities for insurance companies is an extremely important aspect of insurance operations. Consistent underestimation can result in companies requiring more reserves which can lead to lower profits, downgraded credit ratings, and in the worst case scenarios, insurance company insolvency. Consistent overestimation can lead to inefficient capital allocation and a higher overall cost of capital. Due to the importance of these estimates and the variability of these unpaid liabilities, a multitude of methods have been developed to estimate these amounts. This paper compares several actuarial and statistical methods to determine which are relatively better at producing accurate estimates of unpaid liabilities. To begin, the Chain Ladder Method is introduced for those unfamiliar with it. Then a presentation of several Generalized Linear Model (GLM) methods, various Generalized Additive Model (GAM) methods, the Bornhuetter-Ferguson Method, and a Bayesian method that link the Chain Ladder and Bornhuetter-Ferguson methods together are introduced, with all of these methods being in some way connected to the Chain Ladder Method. Historical data from multiple lines of business compiled by the National Association of Insurance Commissioners is used to compare the methods across different loss functions to gain insight as to which methods produce estimates with the minimum loss and to gain a better understanding of the relative strengths and weaknesses of the methods. Key.



Stochastic Loss Reserving Using Generalized Linear Models


Stochastic Loss Reserving Using Generalized Linear Models
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Author : Greg Taylor
language : en
Publisher:
Release Date : 2016-05-04

Stochastic Loss Reserving Using Generalized Linear Models written by Greg Taylor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-04 with categories.


In this monograph, authors Greg Taylor and Gráinne McGuire discuss generalized linear models (GLM) for loss reserving, beginning with strong emphasis on the chain ladder. The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to consider natural extensions of the chain ladder model that lend themselves to the GLM framework.



Claims Reserving In Non Life Insurance


Claims Reserving In Non Life Insurance
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Author : Gregory Clive Taylor
language : en
Publisher: North Holland
Release Date : 1986

Claims Reserving In Non Life Insurance written by Gregory Clive Taylor and has been published by North Holland this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986 with Business & Economics categories.




Micro Level Stochastic Loss Reserving For General Insurance


Micro Level Stochastic Loss Reserving For General Insurance
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Author : Katrien Antonio
language : en
Publisher:
Release Date : 2017

Micro Level Stochastic Loss Reserving For General Insurance written by Katrien Antonio and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.


To meet future liabilities general insurance companies will set-up reserves. Predicting future cash-flows is essential in this process. Actuarial loss reserving methods will help them to do this in a sound way. The last decennium a vast literature about stochastic loss reserving for the general insurance business has been developed. Apart from few exceptions, all of these papers are based on data aggregated in run-off triangles. However, such an aggregate data set is a summary of an underlying, much more detailed data base that is available to the insurance company. We refer to this data set at individual claim level as "micro-level data." We investigate whether the use of such micro-level claim data can improve the reserving process. A realistic micro-level data set on liability claims (material and injury) from a European insurance company is modeled. Stochastic processes are specified for the various aspects involved in the development of a claim: the time of occurrence, the delay between occurrence and the time of reporting to the company, the occurrence of payments and their size and the final settlement of the claim. These processes are calibrated to the historical individual data of the portfolio and used for the projection of future claims. Through an out-of-sample prediction exercise we show that the micro-level approach provides the actuary with detailed and valuable reserve calculations. A comparison with results from traditional actuarial reserving techniques is included. For our case-study reserve calculations based on the micro-level model are to be preferred; compared to traditional methods, they reflect real outcomes in a more realistic way.



Stochastic Claims Reserving In Insurance With Regression Models


Stochastic Claims Reserving In Insurance With Regression Models
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Author : L. Portugal da Costa Lobo Rodrigues dos Santos
language : en
Publisher:
Release Date : 2018

Stochastic Claims Reserving In Insurance With Regression Models written by L. Portugal da Costa Lobo Rodrigues dos Santos and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.