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Dissertations / Theses on the topic 'Claims reserving'

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Published: 4 June 2021
Last updated: 30 January 2023

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1

Johansson, Annelie. "Claims Reserving on Macro- and Micro-Level." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173113.

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Three methods for claims reserving are compared on two data sets. The first two methods are the commonly used chain ladder method that uses aggregated payments and the relatively new method, double chain ladder, that apart from the payments data also uses the number of reported claims. The third method is more advanced, data on micro-level is needed such as the reporting delay and the number of payment periods for every single claim. The two data sets that are used consist of claims with typically shorter and longer settlement time, respectively. The questions considered are if you can gain an
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2

Ahlgren, Marcus. "Claims Reserving using Gradient Boosting and Generalized Linear Models." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229406.

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One fundamental function of an insurance company revolves around calculating the expected claims costs for which the insurer has to compensate its policyholders for. This is the process of claims reserving which is practised by actuaries using statistical methods. Over the last few decades statistical learning methods have become increasingly popular due to their ability to find complex patterns in any type of data. However, they have not been widely adapted within the insurance sector. In this thesis we evaluate the capability of claims reserving with the method of gradient boosting, a non-pa
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3

Mann, Eric M. "A comparison of stochastic claim reserving methods." Kansas State University, 2011. http://hdl.handle.net/2097/13125.

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Master of Science<br>Department of Statistics<br>Haiyan Wang<br>Estimating unpaid liabilities for insurance companies is an extremely important aspect of insurance operations. Consistent underestimation can result in companies requiring more reserves which can lead to lower profits, downgraded credit ratings, and in the worst case scenarios, insurance company insolvency. Consistent overestimation can lead to inefficient capital allocation and a higher overall cost of capital. Due to the importance of these estimates and the variability of these unpaid liabilities, a multitude of methods have b
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4

Björkwall, Susanna. "Stochastic claims reserving in non-life insurance : Bootstrap and smoothing models." Doctoral thesis, Stockholms universitet, Matematiska institutionen, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-55347.

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In practice there is a long tradition of actuaries calculating reserve estimates according to deterministic methods without explicit reference to a stochastic model. For instance, the chain-ladder was originally a deterministic reserving method. Moreover, the actuaries often make ad hoc adjustments of the methods, for example, smoothing of the chain-ladder development factors, in order to fit the data set under analysis. However, stochastic models are needed in order to assess the variability of the claims reserve. The standard statistical approach would be to first specify a model, then find
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5

Liu, Huijuan. "Stochastic claims reserving for methods which combine information from multiple data sets." Thesis, City University London, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.492349.

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This thesis is concerned with the approximations of prediction error and predictive distribution of the best reserve estimate produced by the models which combine information from multiple data sets. Two models are studied . ~; within the GLM framework, i.e. SClmieper's: model proposed by Schnieper (1991) and the MeL method introduced by Quargand Mack (2004). Theoretical and empirical approximation approaches for the MSEP of these two models are discussed and compared. This includes derivations of closed formulae following the approaches introduced by· both Mack (1993) and Murphy (1994) and
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6

Verrall, Richard John. "Stochastic models for triangular tables with applications to cohort data and claims reserving." Thesis, City University London, 1989. http://openaccess.city.ac.uk/7407/.

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Stochastic models for triangular data are derived and applied to claims reserving data. The standard actuarial technique, the so-called "chain-ladder technique" is given a sound statistical foundation and considered as a linear model. This linear model, the '"Chain Ladder Linear Model" is extended to encompass Bayesian, empirical Bayes and dynamic estimation. The empirical Bayes results are given a credibility theory interpretation, and the advantages and disadvantages of the various approaches are highlighted. Finally, the methods are extended to two-dimensional systems and results based on c
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7

Barnouski, Jebidiah Lee. "Using one-year claim development to chose a large claim reserving technique." Master's thesis, Instituto Superior de Economia e Gestão, 2016. http://hdl.handle.net/10400.5/11589.

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Mestrado em Ciências Actuariais<br>Neste relatório será também explicado ao seu leitor o que é que está na base da separação dos sinistros graves dos restantes, bem como dos métodos frequentemente utilizados para o cálculo de reservas para sinistros com danos corporais. Será também exposto o processo de gestão de sinistros graves actualmente utilizado em Portugal e nas restantes sucursais da Liberty. Para chegar à conclusão de qual o melhor método a sugerir serão primeiramente completados os triângulos tanto de pagamentos ocorridos como de frequências esperadas. As reservas agregadas serão d
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8

Happ, Sebastian Verfasser], and Michael [Akademischer Betreuer] [Merz. "Stochastic Claims Reserving under Consideration of Various Different Sources of Information / Sebastian Happ. Betreuer: Michael Merz." Hamburg : Staats- und Universitätsbibliothek Hamburg, 2014. http://d-nb.info/1053811489/34.

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9

Sloma, Przemyslaw. "Contribution to the weak convergence of empirical copula process : contribution to the stochastic claims reserving in general insurance." Thesis, Paris 6, 2014. http://www.theses.fr/2014PA066563/document.

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Dans la première partie de la thèse, nous nous intéressons à la convergence faible du processus empirique pondéré des copules. Nous fournissons la condition suffisante pour que cette convergence ait lieu vers un processus Gaussien limite. Nos résultats sont obtenus dans un espace de Banach L^p. Nous donnons des applications statistiques de ces résultats aux tests d'adéquation (tests of goodness of fit) pour les copules. Une attention spéciale est portée aux tests basées sur des statistiques de type Cramér-von Mises.Dans un second temps, nous étudions le problème de provisionnement stochastique
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10

Moerup, Casper Jacob. "Prediction of claim cost in general insurance." Master's thesis, Instituto Superior de Economia e Gestão, 2019. http://hdl.handle.net/10400.5/18176.

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Mestrado em Actuarial Science<br>O trabalho seguinte foi realizado durante uma colocação de estágio na If Industrial P & C Insurance, em Estocolmo, na Suécia. Este relatório destaca e discute algumas das diferenças entre o seguro industrial e privado e percorre o processo de “Análise do Ano Normal”. A análise avalia os dados das reivindicações com o objetivo de projetar as perdas em um ano no futuro. A Teoria do Risco Colectivo e a Estimação da Máxima Verossimilhança são utilizadas para obter uma estimativa da gravidade das reivindicações. Além disso, as reservas são estimadas usando o método
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11

Fedorčáková, Claudia. "Empirical Bayesian approach in micromodels of reserve risk." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-262364.

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The traditional reserve estimation by an insurance company is based on the aggregated data. However, new trend is to utilize all the information available and analyse each claim separately. This way the application of claims specific features, such as non-proportional reinsurance or policy limits, is possible. The aim of this thesis is to construct the reserving model based on the individual claims. Following the recent legislative changes, the reserve risk has been redefined from ultimate claim horizon to a one-year risk horizon. Hence, the next task is to setup simulation model to calculate
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12

Ekberg, Stefan. "Claim-level loss reserving for workers compensation insurance." Thesis, Uppsala universitet, Statistiska institutionen, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-256730.

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13

Kierkels, Bram Joseph Johannes. "Internship at Taylor Fry Consulting Actuaries." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11240.

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Mestrado em Ciências Actuariais<br>As the final part of the master degree, I started my internship on 25 Febru- ary 2013 at Taylor Fry Consulting Actuaries. During the internship my work mainly involved analyzing the outstanding workers compensation liabilities for self-insured clients. In this report I will describe the process of this anal- ysis. Throughout this report I will explain the procedures I used to value outstanding claims.
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14

Vosáhlo, Jaroslav. "Modern stochastic claims reserving methods in insurance and their comparison." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-324586.

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This thesis deals with an issue of claims reserving for non-life insurance. The issue is approached in a sense of analytical calculation and stochastic modelling. First, Chain-ladder, Bornhuetter-Ferguson, Benktander-Hovinen and Cape-Cod method are introduced. In following chapters, we try to find related stochastic underlying models including Generalized linear models and Mack's distribution-free approaches, we analyze second moments of claims estimates for each of the methods and examine alternative Merz-Wüthrich approach to reserve risk measurement. At the end, bootstrap algorithm and estim
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15

Gao, Guangyuan. "Three essays on Bayesian claims reserving methods in general insurance." Phd thesis, 2016. http://hdl.handle.net/1885/109191.

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This thesis investigates the usefulness of Bayesian modelling to claims reserving in general insurance. It can be divided into two parts: Bayesian methodology and Bayesian claims reserving methods. In the first part, we review Bayesian inference and computational methods. Several examples are provided to demonstrate key concepts. Deriving the predictive distribution and incorporating prior information are focused on as two important facets of Bayesian modelling for claims reserving. In the second part, we make the following contributions
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16

陳建中. "A Comparison of Mack’s Method and Bootstrap Method in Claims Reserving." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/a3e3fh.

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碩士<br>逢甲大學<br>統計學系<br>104<br>The claim reserve is one of the most important liabilities in property-liability insurance companies. And it is closely related to property-liability insurance companies’ solvency and financial stability. Hence, the estimation of claim reserves is the most important issue. Furthermore, insurance law in Taiwan does not impose a unifying standard for claim-reserving methods. In order to achieve the maximum economic efficiency, the claim reserves need to be estimated through actuaries’ past experiences and professional expertise. Because the subjective opinion of actu
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17

Yu, Ming-Xuan, and 游銘軒. "Markov Chain Monte Carlo Approach to Bayesian Models for Claims Reserving." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/37597540662942809139.

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碩士<br>逢甲大學<br>統計與精算所<br>94<br>Insurance companies should take claims reserving every year, and deposit enough claims reserving to pay off unpaid claims payment in the annual year-end accounting.Claims reserving is the most important liability on balance sheet , and deposit in adequate will affect the financial stability、cash flow, and solvency of an insurance company. This paper introduces how to use past claim amounts and set single cell development factors to fit normal distribution. Based on a Bayesian chain ladder model, we simulate the posterior distribution of claim reserves by MCMC meth
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18

Gonçalves, Bruna Raquel Sebastião. "Estimation of Technical Reserves using Stochastic Methods." Master's thesis, 2022. http://hdl.handle.net/10362/135619.

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Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management<br>Insurance companies need to have proper technical reserves in order to stay solvent, due to the liabilities that they take responsibility for. The notion of what are proper reserves is a subject studied by insurers and academics. For the non-life insurance the claim reserves, amongst other types of reserves, have great significance. Hence the existence of many kinds of reserving methods, either stochastic or determini
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19

Marko, Dominik. "Useknutá data a stochastické rezervování škod." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-382808.

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In this thesis stochastic claims reserving under the model of randomly trun- cated data is presented. For modelling the claims, a compound Poisson process is assumed. Introducing a random variable representing the delay between oc- currence and reporting of a claim, a probability model of IBNR claims is built. The fact that some claims are incurred but not reported yet leads to truncated data. Basic results of non-parametric statistical estimation under the model of randomly truncated data are shown, which can be used to obtain an estimate of IBNR claims reserves. Theoretical background is the
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20

Bílková, Kristýna. "Granulární modely škod v rezervování." Master's thesis, 2014. http://www.nusl.cz/ntk/nusl-340754.

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Claims reserving methods usually use data aggregated into development triangles, therefore a lot of information that insurance companies possess remains unused. This thesis shows a triangle-free approach using granular information from a claim by claim database. A statistical model for claims development which can further be used for estimation of reserves is built. The statistical model consists of a counting process that drives claims occurrence, distribution of reporting delay and distribution of claims severity. Several suitable distributions are presented, as well as methods for obtaining
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21

Luca, Regis. "Three Essays in Finance and Actuarial Science." Phd thesis, 2011. http://tel.archives-ouvertes.fr/tel-00804585.

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This thesis is constituted of three chapters. he first part of my Ph.D. dissertation develops a Bayesian stochastic model for computing the reserves of a non-life insurance company. The first chapter is the product of my research experience as an intern at the Risk Management Department of Fondiaria-Sai S.p.A.. I present a short review of the deterministic and stochastic claims reserving methods currently applied in practice and I develop a (standard) Over-Dispersed Poisson (ODP) Bayesian model for the estimation of the Outstanding Loss Liabilities (OLLs) of a line of business (LoB). I present
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22

Valentovičová, Katarína. "Rezervování škod pomocí kopul pro více pojistných kmenů." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-350892.

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Claims reserving and claims process estimation present classical problems in general insurance. The overall reserves are often determined under the assumption of independence among the lines of business. Though, recently modelling of the dependence among multiple lines of business has become crucial issue of reserving process. In this context, copulae provide a useful tool to construct models which go beyond the classical ones in terms of dependence structure. This thesis deals, in particular, with the copula regression model, its properties and possible applications in general insurance. This
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23

Bednárik, Vojtěch. "Rezervování škod pro individuální škodní data." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-372967.

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This thesis covers stochastic claims reserving in non-life insurance based on individual claims developments. Summarized theoretical methods are applied on data from Czech Insurers' Bureau for educational purposes. The problem of estimation is divided into four parts: oc- curence process generating claims, delay of notification, times between events and payments. Each part is estimated separately based on maximum likelihood theory and final estimates allow us to obtain an estimate of future liabilities distribution. The results are very promis- ing and we believe this method is worth of a furt
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24

Gerthofer, Michal. "Rezervování škod v rámci panelových dat." Master's thesis, 2015. http://www.nusl.cz/ntk/nusl-347795.

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In the presented thesis the issue of dependency between response variables within the subjects in the generalized linear models framework is investigated. Reserving in non-life insurance is a key factor for the financial position of a company. The text introduces the basic actuarial notation, terminology and methods. The main part is focused on panel data framework, especially Generalized Linear Mixed Models (GLMM) as well as Generalized Estimating Equations (GEE), and their application on claims reserving. The aim of this thesis is to show the advantages, disadvantages, limitations and the co
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25

CHANG, SHU-YING, and 張淑盈. "The Application of the Generalized Linear Models and Bootstrap to Claim Reserving in Property and Liability Insurance." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/83330740889475286236.

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碩士<br>逢甲大學<br>統計與精算所<br>98<br>The claim reserve is one of the most important liabilities in property-liability insurance companies, and it is closely related to property-liability insurance companies’ solvency and financial stability. Therefore, the estimation of claim reserves is a very important issue. However, insurance law in Taiwan does not impose a unifying standard for claim-reserving methods. In order to achieve the maximum economic efficiency, the claim reserves need to be estimated through actuaries’ past experiences and professional expertise. Since the subjective opinion of actuari
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26

Rathouský, Marek. "Mikro-úrovňové stochastické rezervování škod." Master's thesis, 2019. http://www.nusl.cz/ntk/nusl-405166.

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This thesis covers, in detail, theoretical background of micro-level stochastic model, which includes definition and properties of non-homogeneous Poisson process. This the- ory is then applied to real data generated by MTPL portfolio. Estimates of provisions under micro-level stochastic model are calculated using ordinary Monte Carlo simula- tion method. Results obtained from micro-level stochastic model are compared to Mack Chain-ladder estimates. 1
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