Relevant bibliographies by topics / Run-off triangle

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Book chapters

Academic literature on the topic 'Run-off triangle'

Author: Grafiati
Published: 4 June 2021
Last updated: 29 January 2023

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Run-off triangle.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Run-off triangle"

1

Barlak, Jan, Matus Bakon, Martin Rovnak, and Martina Mokrisova. "Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business." Risks 10, no. 9 (August 28, 2022): 171. http://dx.doi.org/10.3390/risks10090171.

Full text
Abstract:
Estimating outstanding claims reserves in the non-life insurance business is often impaired by outlier-contaminated datasets. Widely used methods to eliminate outliers in non-life development triangles are either limiting the number of outliers by robust statistical methods or by change of development factors. However, the whole estimation process is likewise adversely affected so that: (i) the total sum of all triangle payments is not correct or (ii) the difference between the original triangle and its backward estimation via the bootstrap method is ineligible. In this paper, the properties of the heat equation are examined to obtain an outlier smoothing technique for development triangles. The heat equation in two dimensions is being applied on an outlier contaminated dataset where no individual data are available. As a result, we introduce a new methodology to (i) treat outliers in non-life development triangles, (ii) keep the total sum of all triangle payments, and (iii) provide acceptable differences between the original and the backward estimated triangle. Consequently, the outlying values are eliminated and the resulting development triangle could be used as an input for any claims reserving method without a need for further robustification or change of development factors. Additionally, the research on the application of heat equation in one dimension presented in this paper enables one to employ the bootstrap method using Pearson’s residuals in cases where the method was originally inapplicable due to development factors being lower than one.
APA, Harvard, Vancouver, ISO, and other styles
2

Pater, Roelf. "The run-off-triangle: Least squares — against chainladder estimations." Blätter der DGVFM 19, no. 1 (April 1989): 11–17. http://dx.doi.org/10.1007/bf02809466.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

IDO, Shunsuke, Masanori MICHIUE, Kuniaki MIYAMOTO, and Osamu HINOKIDANI. "RUN-OFF ANALYSIS METHOD OF SURFACE-SUBSURFACE WATER FLOW USING TRIANGLE SCHEME." PROCEEDINGS OF HYDRAULIC ENGINEERING 46 (2002): 157–62. http://dx.doi.org/10.2208/prohe.46.157.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Amini, Raisha, and Yulial Hikmah. "ESTIMASI CADANGAN KLAIM IBNR MENGGUNAKAN METODE CHAIN-LADDER DAN BORNHUETTER-FERGUSON PADA PRODUK INDEMNITY DI PT. XYZ." MAp (Mathematics and Applications) Journal 4, no. 1 (June 30, 2022): 50–59. http://dx.doi.org/10.15548/map.v4i1.4203.

Full text
Abstract:
Klaim IBNR (Incurred But Not Reported) adalah klaim yang sudah terjadi namun belum dilaporkan. Karena belum dilaporkan, maka totalnya diakumulasikan dalam bentuk cadangan dan dianggap sebagai kewajiban bagi perusahaan asuransi karena sudah terjadi. Klaim yang sudah terjadi namun belum dilaporkan ini disebabkan oleh keterlambatan atau disebut lag/jarak yang disebabkan oleh berbagai faktor. Setiap produk asuransi memiliki lag yang berbeda-beda. Perusahaan asuransi tidak mempunyai data keterlambatan tersebut sehingga data tersebut dapat dibentuk dari data klaim historis menggunakan run-off triangle. Tujuan dari run-off triangle adalah mengetahui berapa lama yang dibutuhkan dari suatu klaim yang terjadi sampai klaim tersebut dilaporkan. Data klaim historis dalam bentuk run-off triangle disebut sebagai incurred sehingga diperoleh gambaran pengalaman klaim dan data tersebut digunakan untuk mengestimasikan masa depan dengan tujuan untuk mendapatkan estimasi ultimate loss. Estimasi ultimate loss adalah estimasi total klaim jika sudah full terlaporkan. Jika sudah didapatkan estimasi ultimate loss dan incurred, maka selisihnya merupakan cadangan klaim yang sudah terjadi namum belum dilaporkan atau IBNR. Terdapat banyak metode untuk memperhitungkan cadangan klaim IBNR. Beberapa Metode yang dapat digunakan adalah dengan metode Chain-Ladder dan Bornhuetter-Ferguson. Hasil menunjukkan bahwa metode Bornhuetter-Ferguson lebih sesuai pada pehitungan cadangan klaim untuk produk indemnity di PT. XYZ. Hal ini disebabkan oleh data klaim historis di penelitian ini memiliki rata-rata waktu penundaan pelaporan klaim lebih dari dua hingga tiga bulan serta estimasi cadangan klaim dengan metode Bornhuetter-Ferguson menghasilkan cadangan klaim lebih besar dibandingkan dengan metode Chain-Ladder. Oleh karena itu, PT. XYZ akan lebih aman untuk menghindar risiko kekurangan cadangan jika menerapkan metode Bornhuetter-Ferguson dibandingkan dengan metode Chain-Ladder.
APA, Harvard, Vancouver, ISO, and other styles
5

Joubert, Morne, Tanja Verster, and Helgard Raubenheimer. "Default weighted survival analysis to directly model loss given default." South African Statistical Journal 52, no. 2 (2018): 173–202. http://dx.doi.org/10.37920/sasj.2018.52.2.5.

Full text
Abstract:
Traditionally when predicting loss given default (LGD), the following models can be used: beta regression, inverse beta model, fractional response regression, ordinary least squares regression, survival analysis, run-off triangles and Box–Cox transformation. The run-off triangle method is commonly used in practice. When using survival analysis to model LGD a standard method to use is exposure at default (EAD) weighted survival analysis (denoted by EWSA). This article will aim to enhance the survival analysis estimation of LGD. Firstly by using default weighted LGD estimates and incorporating negative cash flows and secondly catering for over-recoveries. We will denote this new method to predict LGD as the default weighted survival analysis (DWSA). These enhancements were motivated by the fact that the South African Reserve Bank requires banks to use default weight LGD estimates in regulatory capital calculations. Therefore by including this into the survival analysis approach, the model is aligned more closely to regulations. Recovery datasets used by banks include both negative and over-recoveries. By including these into the LGD estimation, the models more are closely aligned to the actual data. The assumption is that the predictive power of the model should therefore be improved by adding these changes. The proposed model is tested on eight datasets. Three of these are actual retail bank datasets and five are simulated. The datasets used are representative of the data typically used in LGD estimations in the South African retail environment. This article will show that the proposed DWSA model outperforms the EWSA model by resulting in not only the lowest mean squared error (MSE), but also the lowest bias and variance across all eight datasets. Furthermore, the DWSA model outperforms all other models under review.
APA, Harvard, Vancouver, ISO, and other styles
6

Lee, Sungim, and Johan Lim. "Online estimation of the case fatality rate using a run‐off triangle data approach: An application to the Korean MERS outbreak in 2015." Statistics in Medicine 38, no. 14 (March 5, 2019): 2664–79. http://dx.doi.org/10.1002/sim.8125.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Kartikasari, Mujiati Dwi, and Hani’atul Maghfuroh. "Prediction of Outstanding Claims Liability in Non-Life Insurance: An Application of Adaptive Grey Model." EKSAKTA: Journal of Sciences and Data Analysis 2, no. 2 (September 17, 2021): 109–15. http://dx.doi.org/10.20885/eksakta.vol2.iss1.art13.

Full text
Abstract:
In order to assess the solvency of non-life insurance companies, the prediction of outstanding claims liability is very important. Prediction of outstanding claims liability is usually done by using a run-off triangle data scheme. However, if data are not available to form the scheme, the prediction of outstanding claims liability cannot be made. Another alternative for predicting of outstanding claims liability is to use time series analysis. This research uses an adaptive grey model that has the advantage of being free of assumptions of data patterns and a minimum amount of data used to predict is small (at least 4 data). To determine the accuracy of the adaptive grey model, we compare the prediction of outstanding claims liability using a grey model classic. Based on the analysis results, the adaptive grey model is better than the classic gray model in predicting outstanding claims liability.
APA, Harvard, Vancouver, ISO, and other styles
8

Clemente, Gian Paolo, Nino Savelli, and Diego Zappa. "Modelling Outstanding Claims with Mixed Compound Processes in Insurance." International Business Research 12, no. 3 (February 13, 2019): 123. http://dx.doi.org/10.5539/ibr.v12n3p123.

Full text
Abstract:
In general insurance, measuring the uncertainty of future loss payments and estimating the claims reserve are primary goals of actuaries. To deal with these tricky tasks, a broad literature is available on deterministic and stochastic approaches, most of which aims at straightforwardly modelling the overall claims reserve. In this paper by an extended, very general and reproducible case-study, we analyze the reserving process by attributing to each cell of the lower part of the run-off triangle a Compound mixed Poisson Process, calibrated upon both the numbers of claims and future average costs and considering as well the dependence among incremental claims. We provide analytically the moments of both incremental payments and the total reserve. Furthermore, we accordingly consider the probability distribution of the claims reserve, which is necessary for the assessment of the Risk Reserve capital requirement in a Solvency II framework. To test the impact of the model under different scenarios, insurers and lines of business, the case study is thoroughly analyzed by exploiting the Fisher-Lange average cost method.
APA, Harvard, Vancouver, ISO, and other styles
9

Zhang, Jiayi Eris, Jèrèmie Dumas, Yun (Raymond) Fei, Alec Jacobson, Doug L. James, and Danny M. Kaufman. "Progressive Simulation for Cloth Quasistatics." ACM Transactions on Graphics 41, no. 6 (November 30, 2022): 1–16. http://dx.doi.org/10.1145/3550454.3555510.

Full text
Abstract:
The trade-off between speed and fidelity in cloth simulation is a fundamental computational problem in computer graphics and computational design. Coarse cloth models provide the interactive performance required by designers, but they can not be simulated at higher resolutions ("up-resed") without introducing simulation artifacts and/or unpredicted outcomes, such as different folds, wrinkles and drapes. But how can a coarse simulation predict the result of an unconstrained, high-resolution simulation that has not yet been run? We propose Progressive Cloth Simulation (PCS), a new forward simulation method for efficient preview of cloth quasistatics on exceedingly coarse triangle meshes with consistent and progressive improvement over a hierarchy of increasingly higher-resolution models. PCS provides an efficient coarse previewing simulation method that predicts the coarse-scale folds and wrinkles that will be generated by a corresponding converged, high-fidelity C-IPC simulation of the cloth drape's equilibrium. For each preview PCS can generate an increasing-resolution sequence of consistent models that progress towards this converged solution. This successive improvement can then be interrupted at any point, for example, whenever design parameters are updated. PCS then ensures feasibility at all resolutions, so that predicted solutions remain intersection-free and capture the complex folding and buckling behaviors of frictionally contacting cloth.
APA, Harvard, Vancouver, ISO, and other styles
10

Schmidt, Klaus D. "Loss prediction based on run-off triangles." AStA Advances in Statistical Analysis 96, no. 2 (December 7, 2011): 265–310. http://dx.doi.org/10.1007/s10182-011-0183-0.

Full text
APA, Harvard, Vancouver, ISO, and other styles
More sources

Dissertations / Theses on the topic "Run-off triangle"

1

SOUZA, LUCIENE GOMES DE. "COMPARISON OF METHODS OF MICRO-DATA AND RUN-OFF TRIANGLE FOR PREDICTION AMOUNT OF IBNR." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2013. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22979@1.

Full text
Abstract:
PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE EXCELENCIA ACADEMICA
A reserva IBNR é uma reserva de suma importância para as seguradoras. Seu cálculo tem sido realizado por métodos, em sua grande maioria, determinísticos, tradicionalmente aplicados a informações de sinistros agrupadas num formato particular intitulado triangulo de run-off. Esta forma de cálculo foi muito usada por décadas por sua simplicidade e pela limitação da capacidade de processamento computacional existente. Hoje, com o grande avanço dessa capacidade, não haveria necessidade de deixar de investigar informações relevantes que podem ser perdidas com agrupamento dos dados. Muitas são as deficiências dos métodos tradicionais apontadas na literatura e o uso de informação detalhada tem sido apontado por alguns artigos como a fonte para superação dessas deficiências. Outra busca constante nas metodologias propostas para cálculo da IBNR é pela obtenção de boas medidas de precisão das estimativas obtidas por eles. Neste ponto, sobre o uso de dados detalhados, há a expectativa de obtenção de medidas de precisão mais justas, já que se tem mais dados. Inspirada em alguns artigos já divulgados com propostas para modelagem desses dados não agrupados esta dissertação propõe um novo modelo, avaliando sua capacidade de predição e ganho de conhecimento a respeito do processo de ocorrência e aviso de sinistros frente ao que se pode obter a partir dos métodos tradicionais aplicados à dados de quantidade para obtenção da quantidade de sinistros IBNR e sua distribuição.
The IBNR reserve is a reserve of paramount importance for insurers. Its calculation has been accomplished by methods, mostly, deterministic, traditionally applied to claims grouped information in a particular format called run-off triangle . This method of calculation was very adequate for decades because of its simplicity and the limited computational processing capacity existing in the past. Today, with the breakthrough of this capacity, no waiver to investigating relevant information that may be lost with grouping data would be need. Many flaws of the traditional methods has been mentioned in the literature and the use of detailed information has been pointed as a form of overcoming these deficiencies. Another frequent aim in methodologies proposed for the calculation of IBNR is get a good measure of the accuracy of the estimates obtained by them and that is another expectation about the use of detailed data, since if you got more data you could get better measures. Inspired by some articles already published with proposals for modeling such not grouped data, this dissertation proposes a new model and evaluate its predictive ability and gain of knowledge about the process of occurrence and notice of the claim against that one can get from the traditional methods applied to data of amount of claims for obtain the amount of IBNR claims and their distribution.
APA, Harvard, Vancouver, ISO, and other styles
2

Kozlová, Alena. "Trojúhelníková schémata v neživotním pojištění." Master's thesis, Vysoká škola ekonomická v Praze, 2011. http://www.nusl.cz/ntk/nusl-124521.

Full text
Abstract:
The thesis is about the arrangement of the last known claim values into the run-off triangle. This diagram is used in non-life insurance, mainly in methods for calculating technical claims reserves. Individual methods will be described in detail and consecutively applied on real data. The real data are a set of data with long tail. We are differentiating between easier deterministic and stochastic methods, which are more demanding for calculation. The results will be compared by basic statistical parameter of the analyzed data and at the end the best method will be chosen for the data.
APA, Harvard, Vancouver, ISO, and other styles
3

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

Full text
Abstract:
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: 1. Propose a compound model as a stochastic version of the payments per claim incurred method. 2. Introduce the Bayesian basis expansion models and Hamiltonian Monte Carlo method to the claims reserving problem. 3. Use copulas to aggregate the doctor benefit and the hospital benefit in the WorkSafe Victoria scheme. All the Bayesian models proposed are first checked by applying them to simulated data. We estimate the liabilities of outstanding claims arising from the weekly benefit, the doctor benefit and the hospital benefit in the WorkSafe Victoria scheme. We compare our results with those from the PwC report. Except for several Markov chain Monte Carlo algorithms written for the purpose in R and WinBUGS, we largely rely on Stan, a specialized software environment which applies Hamiltonian Monte Carlo method and variational Bayes.
APA, Harvard, Vancouver, ISO, and other styles
4

Kohout, Marek. "Stavové modelování vývojových trojúhelníků." Master's thesis, 2021. http://www.nusl.cz/ntk/nusl-448417.

Full text
Abstract:
The main goal of this Diploma thesis is to describe an approach for modeling run-off triangles of nonlife insurance (calculation of IBNR reserve) based on state space models and apply the method to the selected run-off triangles. In difference from (Atherino a kol., 2010) the KFAS package in R software is used for modeling purposes in the numerical study at the end of the thesis. One provides a preview of various possibilities of data and model adjustment applied to the same run-off triangles in order to asses added value of these steps (logartihmic transformation of input data, interventions for outliers etc.). A special attention is devoted to lognormal modification of the basic state space model. An integral part of the numerical study in the thesis is a residual diagnostic of models and simulation approach to IBNR reserves. 1
APA, Harvard, Vancouver, ISO, and other styles
5

Lim, Kar Wai. "Bayesian analysis of claim run-off triangles." Thesis, 2011. http://hdl.handle.net/1885/106530.

Full text
Abstract:
This dissertation studies Markov chain Monte Carlo (MCMC) methods, and applies them to actuarial data, with a focus on claim run-off triangles. After reviewing a classical model for run-off triangles proposed by Hertig (1985) and improved by de Jong (2004), who incorporated a correlation structure, a Bayesian analogue is developed to model an actuarial dataset, with a view to estimating the total outstanding claim liabilities (also known as the required reserve). MCMC methods are used to solve the Bayesian model, estimate its parameters, make predictions, and assess the model itself. The resulting estimate of reserve is compared to estimates obtained using other methods, such as the chain-ladder method, a Bayesian over-dispersed Poisson model, and the classical development correlation model of de Jong. The thesis demonstrates that the proposed Bayesian correlation model performs well for claim reserving purposes. This model yields similar results to its classical counterparts, with relatively conservative point estimates. It also gives a better idea of the uncertainties involved in the estimation procedure.
APA, Harvard, Vancouver, ISO, and other styles
6

Havlíková, Tereza. "Výpočty variability vývojových trojúhelníků v neživotním pojištění." Master's thesis, 2013. http://www.nusl.cz/ntk/nusl-324074.

Full text
Abstract:
The aim of this thesis is to describe calculation methods for variability esti- mation of claims reserve in non-life insurance. The thesis focuses on three main categories of models: Mack's stochastic Chain-Ladder, generalized linear models and bootstrap. Both the theoretical and also the empirical parts are included. Empirical part is devoted to application of all the models described above on both real and simulated data. 1
APA, Harvard, Vancouver, ISO, and other styles

Book chapters on the topic "Run-off triangle"

1

Schmidt, Klaus D. "Run-Off Triangles." In EAA Series, 247–54. Cham: Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-30056-6_33.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

"Claims Reserving and Pricing with Run-Off Triangles." In Statistical and Probabilistic Methods in Actuarial Science, 17–50. Chapman and Hall/CRC, 2007. http://dx.doi.org/10.1201/9781584886969-5.

Full text
APA, Harvard, Vancouver, ISO, and other styles
You might also be interested in the extended bibliographies on the topic 'Run-off triangle' for particular source types:
Journal articles
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography