Sökning: "Stochastic claims reserving"

Hittade 3 avhandlingar innehållade orden Stochastic claims reserving.

1. 1. Stochastic claims reserving in non-life insurance : Bootstrap and smoothing models

   Författare :Susanna Björkwall; Ola Hössjer; Esbjörn Ohlsson; Peter England; Stockholms universitet; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Bootstrap; Chain-ladder; Generalized linear model; Separation method; Smoothing; Stochastic claims reserving; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

   Sammanfattning : 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. LÄS MER

3. 2. Stochastic modelling in disability insurance

   Författare :Björn Löfdahl; Boualem Djehiche; Mogens Steffensen; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES;

   Sammanfattning : This thesis consists of two papers related to the stochastic modellingof disability insurance. In the first paper, we propose a stochastic semi-Markovian framework for disability modelling in a multi-period discrete-time setting. LÄS MER

4. 3. Topics in life and disability insurance

   Författare :Björn Löfdahl Grelsson; Boualem Djehiche; Jostein Paulsen; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : This thesis consists of five papers, presented in Chapters A-E, on topics in life and disability insurance. It is naturally divided into two parts, where papers A and B discuss disability rates estimation based on historical claims data, and papers C-E discuss claims reserving, risk management and insurer solvency. LÄS MER