Stochastic Loss Reserving for General Insurance with Emphasis on Micro-Level

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

OMRANI ALIREZA; Faghihi habibabadi Mohammadreza

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Download Full-Text

Persian Verion

View:

486

Download:

Cites:

Information Journal Paper

Title

Stochastic Loss Reserving for General Insurance with Emphasis on Micro-Level

Author(s)

OMRANI ALIREZA | Faghihi habibabadi Mohammadreza | Issue Writer Certificate

Keywords

Loss ReserveQ1

Poisson ProcessQ1

Survival AnalysisQ2

Non-Life InsuranceQ1

PredictingQ1

Micro-LevelQ1

Abstract

Insurance companies usually use the chain-ladder method in their ﬁ nancial statements to predict Loss Reserves. The chain-ladder method is based on aggregated data and development years of claims in run-oﬀ triangles. This triangle is a summary of an underlying data-set related to the development of individual claims. This paper used the framework of Position Dependent Marked Poisson Processes and statistical tools for recurrent events in individual claims for a method of reserve as a Micro-Level stochastic Loss Reserve. Detailed information concerning damage occurrence time s, loss reporting delay times, intervals between payments, the values of their payments, and the final settlement times of claims are used to calculate the Micro-Level reserves. To validate the new model, the data-set from an Iranian insurance company is considered. Using this data-set and the simulation of Micro-Level stochastic loss reserving model, it was shown that the use of Micro-Level stochastic loss reserving model is a close estimate to the real value of the required Loss Reserve in the future years.

Cites

No record.

References

No record.

Cite

APA: Copy

OMRANI, ALIREZA, & Faghihi habibabadi, Mohammadreza. (2017). Stochastic Loss Reserving for General Insurance with Emphasis on Micro-Level. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), 32(3 (127) ), 41-62. SID. https://sid.ir/paper/100885/en

Vancouver: Copy

OMRANI ALIREZA, Faghihi habibabadi Mohammadreza. Stochastic Loss Reserving for General Insurance with Emphasis on Micro-Level. IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH)[Internet]. 2017;32(3 (127) ):41-62. Available from: https://sid.ir/paper/100885/en

IEEE: Copy

ALIREZA OMRANI, and Mohammadreza Faghihi habibabadi, “Stochastic Loss Reserving for General Insurance with Emphasis on Micro-Level,” IRANIAN JOURNAL OF INSURANCE RESEARCH (SANAAT-E-BIMEH), vol. 32, no. 3 (127) , pp. 41–62, 2017, [Online]. Available: https://sid.ir/paper/100885/en

Related Journal Papers