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Stochastic reserving using individual claims data in non-life insurance

In the thesis, numerous methods are proposed to estimate the reserve in non-life insurance. The claims data of individual customers are used. These data include the sum insured, the claim and payment records until the present time and the outstanding claims liabilities. The multivariate power-normal...

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主要作者: Ang, Siew Ling *
格式: Thesis
出版: 2019
主题:
HG Finance
QA Mathematics
在线阅读:http://eprints.sunway.edu.my/2368/
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spelling my.sunway.eprints.23682023-09-26T08:13:51Z http://eprints.sunway.edu.my/2368/ Stochastic reserving using individual claims data in non-life insurance Ang, Siew Ling * HG Finance QA Mathematics In the thesis, numerous methods are proposed to estimate the reserve in non-life insurance. The claims data of individual customers are used. These data include the sum insured, the claim and payment records until the present time and the outstanding claims liabilities. The multivariate power-normal mixture (MPNM) distribution is used to overcome the problem posed by the large number of zero values in the individual payment amount and outstanding amount. The performance of the MPNM distribution is found to be better than that of the chain-ladder procedure for the dataset under consideration. The mixture of multivariate power-normal (MPN) distributions and a degenerate distribution is used to overcome the problem posed by the occasional extremely large claims. The extra information given by the subclasses of insurance is used to improve the estimation of the reserve. The methods proposed are found to be also applicable to the end of year individual data. 2019-07 Thesis NonPeerReviewed Ang, Siew Ling * (2019) Stochastic reserving using individual claims data in non-life insurance. Doctoral thesis, Sunway University.
institution Sunway University
building Sunway Campus Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Sunway University
content_source Sunway Institutional Repository
url_provider http://eprints.sunway.edu.my/
topic HG Finance
QA Mathematics
spellingShingle HG Finance
QA Mathematics
Ang, Siew Ling *
Stochastic reserving using individual claims data in non-life insurance
description In the thesis, numerous methods are proposed to estimate the reserve in non-life insurance. The claims data of individual customers are used. These data include the sum insured, the claim and payment records until the present time and the outstanding claims liabilities. The multivariate power-normal mixture (MPNM) distribution is used to overcome the problem posed by the large number of zero values in the individual payment amount and outstanding amount. The performance of the MPNM distribution is found to be better than that of the chain-ladder procedure for the dataset under consideration. The mixture of multivariate power-normal (MPN) distributions and a degenerate distribution is used to overcome the problem posed by the occasional extremely large claims. The extra information given by the subclasses of insurance is used to improve the estimation of the reserve. The methods proposed are found to be also applicable to the end of year individual data.
format Thesis
author Ang, Siew Ling *
author_facet Ang, Siew Ling *
author_sort Ang, Siew Ling *
title Stochastic reserving using individual claims data in non-life insurance
title_short Stochastic reserving using individual claims data in non-life insurance
title_full Stochastic reserving using individual claims data in non-life insurance
title_fullStr Stochastic reserving using individual claims data in non-life insurance
title_full_unstemmed Stochastic reserving using individual claims data in non-life insurance
title_sort stochastic reserving using individual claims data in non-life insurance
publishDate 2019
url http://eprints.sunway.edu.my/2368/
_version_ 1778165638024396800
score 13.251813

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