SÉMINAIRE DE MATHÉMATIQUES ACTUARIELLES ET FINANCIÈRES organisé par Quantact, le Laboratoire de mathématiques actuarielles et financières du CRM LB-921.04 1400 de Maisonneuve Ouest, Montréal Pavillon J.W. McConnell (Library) Building, SGW Campus, Concordia University 17 avril 2015, 14:30-15:30 Xinda Yang School of Risk and Actuarial Studies, University of New South Wales Business School UNSW Sydney NSW 2052, Australia Micro-level insurance claim count modelling: a Cox process approach Micro-level claims modelling is attracting increasing interest in both academia and the industry. In this paper, we present a Cox process approach to model insurance claims counts based on micro-level observations, and implement the model in the prediction of the numbers of Incurred-But-Not-Reported claims. By using a Cox process approach, our model allows for over-dispersion and serial dependency of claims counts. In order to allow for practicalities of insurance risks, we further incorporate risk exposure information and allow for delays in reporting. The performance and application of our model and estimation algorithms are illustrated using both simulated and read datasets. Site web: www.quantact.uqam.ca/pages/seminaires SEMINAR OF ACTUARIAL AND FINANCIAL MATHEMATICS organized by Quantact, the CRM Laboratory of Actuarial and Financial Mathematics LB-921.04 1400 de Maisonneuve Blvd. W., Montréal Pavillon J.W. McConnell (Library) Building, SGW Campus, Concordia University April 17 2015, 14:30-15:30 Xinda Yang School of Risk and Actuarial Studies, University of New South Wales Business School UNSW Sydney NSW 2052, Australia Micro-level insurance claim count modelling: a Cox process approach Micro-level claims modelling is attracting increasing interest in both academia and the industry. In this paper, we present a Cox process approach to model insurance claims counts based on micro-level observations, and implement the model in the prediction of the numbers of Incurred-But-Not-Reported claims. By using a Cox process approach, our model allows for over-dispersion and serial dependency of claims counts. In order to allow for practicalities of insurance risks, we further incorporate risk exposure information and allow for delays in reporting. The performance and application of our model and estimation algorithms are illustrated using both simulated and read datasets. Website: www.quantact.uqam.ca/pages/seminaires
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