Stochastic loss reserving : a new perspective from a Dirichlet model
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20210005695 | ||
| 003 | MAP | ||
| 005 | 20210302165657.0 | ||
| 008 | 210219e20210301usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20210003219$aSriram, Karthik | ||
| 245 | 1 | 0 | $aStochastic loss reserving$b: a new perspective from a Dirichlet model$cKarthik Sriram, Peng Shi |
| 520 | $aForecasting the outstanding claim liabilities to set adequate reserves is critical for a nonlife insurer's solvency. ChainLadder and BornhuetterFerguson are two prominent actuarial approaches used for this task. The selection between the two approaches is often ad hoc due to different underlying assumptions. We introduce a Dirichlet model that provides a common statistical framework for the two approaches, with some appealing properties. Depending on the type of information available, the model inference naturally leads to either ChainLadder or BornhuetterFerguson prediction. Using claims data on Worker's compensation insurance from several U.S. insurers, we discuss both frequentist and Bayesian inference. | ||
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 650 | 4 | $0MAPA20080573935$aSeguros no vida | |
| 650 | 4 | $0MAPA20080567118$aReclamaciones | |
| 700 | 1 | $0MAPA20100048726$aShi, Peng | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g01/03/2021 Volumen 88 Número 1 - marzo 2021 , p. 195-230 |