نوع مقاله: مقاله علمی - پژوهشی
نویسندگان
1 کارشناس ارشد رشتۀ بیمسنجی، دانشگاه شهید بهشتی (نویسندۀ مسئول)
2 دانشیار گروه آمار، دانشکدۀ علوم ریاضی، دانشگاه شهید بهشتی
چکیده
کلیدواژهها
عنوان مقاله [English]
نویسندگان [English]
Insurance companies usually use the chain-ladder method in their financial statements to predict loss reserves. The chain-ladder method is based on aggregated data and development years of claims in run-off triangles. This triangle is a summary of an underlying data-set related to the development of individual claims. This paper used the framework of Position Dependent Marked Poisson Processes and statistical tools for recurrent events in individual claims for a method of reserve as a micro-level stochastic loss reserve. Detailed information concerning damage occurrence times, loss reporting delay times, intervals between payments, the values of their payments, and the final settlement times of claims are used to calculate the micro-level reserves. To validate the new model, the data-set from an Iranian insurance company is considered. Using this data-set and the simulation of micro-level stochastic loss reserving model, it was shown that the use of micro-level stochastic loss reserving model is a close estimate to the real value of the required loss reserve in the future years.
کلیدواژهها [English]
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