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Joint model prediction and application to individual-level loss reserving

Okine, A. Nii-Armah; Frees, Edward; Shi, Peng

Description

Innon-life insurance, the payment history can be predictive of the timing of a settlement for individual claims. Ignoring the association between the payment process and the settlement process could bias the prediction of outstanding payments. To address this issue, we introduce into the literature of micro-level loss reserving a joint modeling framework that incorporates longitudinal payments of a claim into the intensity process of claim settlement. We discuss statistical inference and focus...[Show more]

CollectionsANU Research Publications
Date published: 2021
Type: Journal article
URI: http://hdl.handle.net/1885/299582
Source: ASTIN Bulletin
Access Rights: Open Access

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