Výsledky vyhledávání - "Carolin Margraf"

Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data

Autor: Carolin Margraf, Richard Verrall, Valandis Elpidorou

Publikováno v: Insurance: Mathematics and Economics. 80:54-65

This paper addresses a new problem in the literature, which is how to consider reserving issues for a portfolio of general insurance policies when there is excess-of-loss reinsurance. This is very important for pricing considerations and for decision

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ee82ad056e53509b43a220790743d6c2
https://doi.org/10.1016/j.insmatheco.2018.03.001

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A Likelihood Approach to Bornhuetter–Ferguson Analysis

Autor: Valandis Elpidorou, Bent Nielsen, María Dolores Martínez-Miranda, Carolin Margraf

Publikováno v: Risks
Volume 7
Issue 4
Digibug. Repositorio Institucional de la Universidad de Granada
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A new Bornhuetter–Ferguson method is suggested herein. This is a variant of the traditional chain ladder method. The actuary can adjust the relative ultimates using externally estimated relative ultimates. These correspond to linear constraints on

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b8c7de81d47b7246c005fa0114e671e1
https://doi.org/10.3390/risks7040119

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The Link Between Classical Reserving and Granular Reserving Through Double Chain Ladder and its Extensions

Autor: Munir Hiabu, Carolin Margraf, Maria Dolores Martinez-Miranda, Jens Perch Nielsen

The relationship of the chain ladder method to mathematical statistics has long been debated in actuarial science. During the 1990s it became clear that the originally deterministic chain ladder can be seen as an autoregressive time series or as a mu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e97ddfcec665e88877ae0e09fb337a3
https://openaccess.city.ac.uk/id/eprint/12534/1/BAJpaper_final.pdf

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Cash flow generalisations of non-life insurance expert systems estimating outstanding liabilities

Autor: María Dolores Martínez-Miranda, Jens Perch Nielsen, Carolin Margraf, Munir Hiabu

Two new reserving methods using expert opinion incurred data are presented.New methodology allows reserving methods to be compared via validation.The two most popular actuarial reserving methods can also be compared via this new method.Our new expert

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::984990098ab2673c565580a20f4af7bb
https://openaccess.city.ac.uk/id/eprint/12533/1/ExpertsSystems_16_9_2015.pdf

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