Ang, Siew Ling * (2019) Stochastic reserving using individual claims data in non-life insurance. Doctoral thesis, Sunway University.
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In the thesis, numerous methods are proposed to estimate the reserve in non-life insurance. The claims data of individual customers are used. These data include the sum insured, the claim and payment records until the present time and the outstanding claims liabilities. The multivariate power-normal mixture (MPNM) distribution is used to overcome the problem posed by the large number of zero values in the individual payment amount and outstanding amount. The performance of the MPNM distribution is found to be better than that of the chain-ladder procedure for the dataset under consideration. The mixture of multivariate power-normal (MPN) distributions and a degenerate distribution is used to overcome the problem posed by the occasional extremely large claims. The extra information given by the subclasses of insurance is used to improve the estimation of the reserve. The methods proposed are found to be also applicable to the end of year individual data.
| Item Type: | Thesis (Doctoral) |
|---|---|
| Uncontrolled Keywords: | non-life policy; outstanding claims liabilities; OCL; multivariate power-normal mixture; MPNM |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Divisions: | Sunway University > Sunway University Business School |
| Depositing User: | Ms Yong Yee Chan |
| Related URLs: | |
| Date Deposited: | 25 Sep 2023 06:24 |
| Last Modified: | 26 Sep 2023 08:13 |
| URI: | http://eprints.sunway.edu.my/id/eprint/2368 |
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