Risk aggregation and stochastic claims reserving in disability insurance
✍ Scribed by Djehiche, Boualem; Löfdahl, Björn
- Book ID
- 127116094
- Publisher
- Elsevier Science
- Year
- 2014
- Tongue
- English
- Weight
- 550 KB
- Volume
- 59
- Category
- Article
- ISSN
- 0167-6687
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📜 SIMILAR VOLUMES
The calculation of the reserves in a stochastic mortality and interest rates environment for a general portfolio of life insurance policies is examined. The first two moments of the prospective loss random variable for the general portfolio are derived. A Monte Carlo simulation method is used to est
## Abstract This paper considers the problem of predicting claim costs in the automobile insurance industry. The first stage involves classifying policy holders according to their perceived risk, followed by modelling the claim costs within each risk group. Two methods are compared for the risk cla