Marked Cox models for IBNR claims count: continuous and discretized approaches with Dirichlet-driven reporting delays
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20260002002 | ||
| 003 | MAP | ||
| 005 | 20260205101748.0 | ||
| 008 | 260202e20260115bel|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 245 | 0 | 0 | $aMarked Cox models for IBNR claims count: continuous and discretized approaches with Dirichlet-driven reporting delays$cHassan Abdelrahman... [et al.] |
| 520 | $aThis paper introduces a new micro-level Cox model for estimating incurred-but-not-reported (IBNR) claim counts using a hidden Markov model structure. The model is first developed in continuous time to incorporate temporal dependence and policyholder-specific risk factors, but practical challenges arise due to likelihood maximization and right-truncated reporting delays. To address these issues, the authors propose two discrete-time alternatives: one that uses a Dirichlet distribution to capture random variability in reporting delays, and one without this component. EM-based estimation procedures are provided for all models. When applied to an auto-insurance dataset, the discrete-time models outperform the continuous-time version by jointly modeling claim occurrence and reporting delay, with the Dirichlet-based model offering improved flexibility and capturing additional uncertainty. Overall, the framework enhances accuracy in IBNR reserving and can be adapted to different levels of granularity within an insurance portfolio | ||
| 650 | 4 | $0MAPA20080573935$aSeguros no vida | |
| 650 | 4 | $0MAPA20080597733$aModelos estadísticos | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20090039629$aRiesgo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080576783$aModelo de Markov | |
| 700 | 1 | $0MAPA20260001593$aAbdelrahman, Hassan | |
| 710 | 2 | $0MAPA20100017661$aInternational Actuarial Association | |
| 773 | 0 | $wMAP20077000420$g19/01/2026 Volume 56 Issue 1 - January 2026 , p. 60 - 80$x0515-0361$tAstin bulletin$dBelgium : ASTIN and AFIR Sections of the International Actuarial Association |