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| Record identifier
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564733
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| Personal Name - Primary Intelectual Responsibility
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Ansari Chaharsoughi, Soudeh
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| Title and statement of responsibility
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A Semiparametric Approach to Individual Claim Loss Reserving [Thesis]/انصاری چهارسوقی، سوده;supervisor: Farzad Eskandari;advisor: Reza Ofoghi
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| Publication, Distribution,Etc.
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, 2009
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| Language of the Item
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eng
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| Internal Bibliographies/Indexes Note
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Bibliogaphy
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| Dissertation of thesis details and type of degree
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Master of Arts
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| Body granting the degree
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, E.C.O. College of Insurance
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| Summary or Abstract
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هدف تحقیق: در این تحقیق یکی از پیشرفته ترین ابزارهای آماری با عنوان مدلهای نیم پارامتری در برآورد ذخیره خسارات معوقه فردی استفاده شده است. یافته های تحقیق: نشان می دهد که این مدل نیم پارامتری به صورت بسیار دقیقی قادر به برآورد ذخیره خسارات معوقه فردی می باشد و در ضمن پیچیدگی ها و معایب مدل های موجود خسارات فردی را نداشته و رد عمل قابلیت اجرایی بیشتری دارد
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Proper loss and loss expense reserve are vital for an insurance company both for financial security and for production of accurate income statements. A major issue in calculating outstanding liabilities is estimating IBNR claims. An IBNR event is one that occurs randomly during some fixed exposure interval and incurs a random delay before it is reported. Using sophisticated statistical methods is in great interest of actuaries nowadays. In this research we investigated an application of some of the most agile and powerful tools of statistics to one of the major actuarial problems. An alternative semiparametric model is used to model the delays using a frailty variable. Also Non-stationary Poisson Process with intensity function of Cox Proportional hazard model has been used to model the claims. A simulation study is carried out to evaluate the performance of the method. For an immediate expansion one can append Bayesian Method to the investigated model..
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IBNR claim
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loss reserving
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aggregated claim model
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semiparametric structure
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local likelihood
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Coxproportional hazard model.
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| Information of biblio record
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TL
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http://dl.islamicdoc.com/site/catalogue/564733
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