The Claims Reserving Problem in Non-Life Insurance: Some Structural Ideas

Elja Arjas

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Probability and Risk Models Insurance and Financial Risk Management Insurance, Mortality, Demography, Risk Management

Abstract

Abstract We present some relatively simple structural ideas about how probabilistic modeling, and in particular, the modern theory of point processes and martingales, can be used in the estimation of claims reserves.

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1981Point Processes and Queues 1983Point Processes and Queues: Martingale Dynamics.1979An introduction to mathematical risk theory 2008Scandinavian Actuarial Journal

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1996Claims Reserving in Continuous Time; A Nonparametric Bayesian Approach 2013INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK 2018Neural networks applied to chain–ladder reserving 2019A machine learning approach for individual claims reserving in insurance 2008Dam rain and cumulative gain 1995Delay in claim settlement and ruin probability approximations 2021Recent Challenges in Actuarial Science 2019Individual Loss Reserving Using a Gradient Boosting-Based Approach

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