Claims reserving with a stochastic vector projection

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008  180606e20180301usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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1001 ‎$0‎MAPA20080112387‎$a‎Portugal, Luis
24510‎$a‎Claims reserving with a stochastic vector projection‎$c‎Luís Portugal, Athanasios A. Pantelous, Hirbod Assa
520  ‎$a‎In the last three decades, a variety of stochastic reserving models have been proposed in the general insurance literature mainly using (or reproducing) the well-known Chain-Ladder claims-reserving estimates. In practice, when the data do not satisfy the Chain-Ladder assumptions, high prediction errors might occur. Thus, in this article, a combined methodology is proposed based on the stochastic vector projection method and uses the regression through the origin approach of Murphy, but with heteroscedastic errors instead, and different from those that used by Mack. Furthermore, the Mack distribution-free model appears to have higher prediction errors when compared with the proposed one, particularly, for data sets with increasing (regular) trends. Finally, three empirical examples with irregular and regular data sets illustrate the theoretical findings, and the concepts of best estimate and risk margin are reported.
650 4‎$0‎MAPA20080586447‎$a‎Modelo estocástico
650 4‎$0‎MAPA20080602437‎$a‎Matemática del seguro
650 4‎$0‎MAPA20080592059‎$a‎Modelos predictivos
650 4‎$0‎MAPA20080597733‎$a‎Modelos estadísticos
650 4‎$0‎MAPA20080592042‎$a‎Modelos matemáticos
650 4‎$0‎MAPA20120011137‎$a‎Predicciones estadísticas
650 4‎$0‎MAPA20080582340‎$a‎Reservas técnicas
7001 ‎$0‎MAPA20150002808‎$a‎Pantelous, Athanasios A.
700  ‎$0‎MAPA20180008092‎$a‎Assa, Hirbod
7730 ‎$w‎MAP20077000239‎$t‎North American actuarial journal‎$d‎Schaumburg : Society of Actuaries, 1997-‎$x‎1092-0277‎$g‎05/03/2018 Tomo 22 Número 1 - 2018 , p. 22-39