2009, English, Article, Journal or magazine article edition: Semiparametric model for prediction of individual claim loss reserving Zhao, Xiao Bing; Zhou, Xian; Wang, Jing Long

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Bookmark: http://trove.nla.gov.au/version/173761448
Physical Description
  • journal article
Published
  • Elsevier BV, 2009
Language
  • English

Edition details

Title
  • Semiparametric model for prediction of individual claim loss reserving
Author
  • Zhao, Xiao Bing
  • Zhou, Xian
  • Wang, Jing Long
Other Contributors
  • Macquarie University. Department of Actuarial Studies
Published
  • Elsevier BV, 2009
Physical Description
  • journal article
Subjects
Summary
  • The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Conventional methods, such as ladder or separation methods based on aggregated or grouped claims of the so-called “run-off triangle”, have been illustrated to have some drawbacks. Recently, individual claim loss models have attracted a great deal of interest in actuarial literature, which can overcome the shortcomings of aggregated claim loss models. In this paper, we propose an alternative individual claim loss model, which has a semiparametric structure and can be used to fit flexibly the claim loss reserving. Local likelihood is employed to estimate the parametric and nonparametric components of the model, and their asymptotic properties are discussed. Then the prediction of the IBNR claim loss reserving is investigated. A simulation study is carried out to evaluate the performance of the proposed methods.
  • 8 page(s)
Language
  • English
Related Resource
Identifier
  • mq:16133
  • ISSN:0167-6687
  • mq-rm-2009000638

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