About: Conditional least squares and copulae in claims reserving for a single line of business

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An Entity of Type : http://linked.opendata.cz/ontology/domain/vavai/Vysledek, within Data Space : linked.opendata.cz associated with source document(s)

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rdf:type	skos:Concept http://linked.opendata.cz/ontology/domain/vavai/Vysledek
rdfs:seeAlso	http://dx.doi.org/10.1016/j.insmatheco.2014.02.007
Description	One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims development. On contrary to the classical stochastic reserving techniques, the number of model parameters does not depend on the number of development periods, which leads to a more precise forecasting. Moreover, the time series innovations for the consecutive claims are not considered to be independent anymore. Conditional least squares are used to estimate model parameters and consistency of these estimates is proved. The copula approach is used for modeling the dependence structure, which improves the precision of the reserve distribution estimate as well. Real data examples are provided as an illustration of the potential benefits of the presented approach. (C) 2014 Elsevier B.V. All rights reserved. One of the main goals in non-life insurance is to estimate the claims reserve distribution. A generalized time series model, that allows for modeling the conditional mean and variance of the claim amounts, is proposed for the claims development. On contrary to the classical stochastic reserving techniques, the number of model parameters does not depend on the number of development periods, which leads to a more precise forecasting. Moreover, the time series innovations for the consecutive claims are not considered to be independent anymore. Conditional least squares are used to estimate model parameters and consistency of these estimates is proved. The copula approach is used for modeling the dependence structure, which improves the precision of the reserve distribution estimate as well. Real data examples are provided as an illustration of the potential benefits of the presented approach. (C) 2014 Elsevier B.V. All rights reserved. (en)
Title	Conditional least squares and copulae in claims reserving for a single line of business Conditional least squares and copulae in claims reserving for a single line of business (en)
skos:prefLabel	Conditional least squares and copulae in claims reserving for a single line of business Conditional least squares and copulae in claims reserving for a single line of business (en)
skos:notation	RIV/00216208:11320/14:10282199!RIV15-MSM-11320___
http://linked.open...avai/riv/aktivita	I P
http://linked.open...avai/riv/aktivity	I, P(GP13-12994P)
http://linked.open...iv/cisloPeriodika	1
http://linked.open...vai/riv/dodaniDat	2015
http://linked.open...aciTvurceVysledku	Pešta, Michal
http://linked.open.../riv/druhVysledku	J - Článek v odborném periodiku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	8577
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/14:10282199
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Conditional least squares; Copula; Dependency modeling; Reserve distribution; Claims reserving (en)
http://linked.open.../riv/klicoveSlovo	Copula Claims reserving Conditional least squares Dependency modeling Reserve distribution
http://linked.open...odStatuVydavatele	NL - Nizozemsko
http://linked.open...ontrolniKodProRIV	[096E516B4D30]
http://linked.open...i/riv/nazevZdroje	Insurance: Mathematics and Economics
http://linked.open...in/vavai/riv/obor	BA
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	2 (xsd:int)
http://linked.open...vavai/riv/projekt	Stochastické rezervování škod a statistická inference v pojišťovnictví
http://linked.open...UplatneniVysledku	2014
http://linked.open...v/svazekPeriodika	56
http://linked.open...iv/tvurceVysledku	Pešta, Michal Okhrin, Ostap
http://linked.open...ain/vavai/riv/wos	000337852600003
issn	0167-6687
number of pages	10 (xsd:int)
http://bibframe.org/vocab/doi	10.1016/j.insmatheco.2014.02.007
http://localhost/t...ganizacniJednotka	11320

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