Prediction of reserves using multivariate power-normal mixture distribution
Recently, in the area on stochastic loss reserving, there are a number of papers which analyze the individual claims data using the Position Dependent Marked Poisson Process. The present paper instead uses a different type of individual data. For the i-th (1 ≤ i ≤ n) customer, these individual dat...
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| Format: | Article |
| Language: | English |
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AIP Publishing
2016
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| Online Access: | http://eprints.sunway.edu.my/437/ http://eprints.sunway.edu.my/437/1/Pooi%20Ah%20Hin%207.pdf |
| _version_ | 1848801820914221056 |
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| author | Ang, Siew Ling * Pooi, Ah Hin * |
| author_facet | Ang, Siew Ling * Pooi, Ah Hin * |
| author_sort | Ang, Siew Ling * |
| building | SU Institutional Repository |
| collection | Online Access |
| description | Recently, in the area on stochastic loss reserving, there are a number of papers which analyze the individual claims data using the Position Dependent Marked Poisson Process. The present paper instead uses a different type of individual data. For the i-th (1 ≤ i ≤ n) customer, these individual data include the sum insured i s together with the amount paid ij y and the amount ij a reported but not yet paid in the j-th (1 6) j dd development year. A technique based on multivariate power-normal mixture distribution is already available for predicting the future value ( 1 ijy � , 1 ija � ) using the present year value(,) i j i j ya and the sum insured i s . Presently the above technique is improved by the transformation of distribution which is defined on the whole real line to one which is non-negative and having approximately the same first four moments as the original distribution. It is found that, for the dataset considered in this paper, the improved method giveV a better estimate for the reserve when compared with the chain ladder reserve estimate. Furthermore, the method is expected to provide a fairly reliable value for the Provision of Risk Margin for Adverse Deviation (PRAD) |
| first_indexed | 2025-11-14T21:13:32Z |
| format | Article |
| id | sunway-437 |
| institution | Sunway University |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-14T21:13:32Z |
| publishDate | 2016 |
| publisher | AIP Publishing |
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| spelling | sunway-4372019-05-31T04:43:53Z http://eprints.sunway.edu.my/437/ Prediction of reserves using multivariate power-normal mixture distribution Ang, Siew Ling * Pooi, Ah Hin * HA Statistics HG Finance Recently, in the area on stochastic loss reserving, there are a number of papers which analyze the individual claims data using the Position Dependent Marked Poisson Process. The present paper instead uses a different type of individual data. For the i-th (1 ≤ i ≤ n) customer, these individual data include the sum insured i s together with the amount paid ij y and the amount ij a reported but not yet paid in the j-th (1 6) j dd development year. A technique based on multivariate power-normal mixture distribution is already available for predicting the future value ( 1 ijy � , 1 ija � ) using the present year value(,) i j i j ya and the sum insured i s . Presently the above technique is improved by the transformation of distribution which is defined on the whole real line to one which is non-negative and having approximately the same first four moments as the original distribution. It is found that, for the dataset considered in this paper, the improved method giveV a better estimate for the reserve when compared with the chain ladder reserve estimate. Furthermore, the method is expected to provide a fairly reliable value for the Provision of Risk Margin for Adverse Deviation (PRAD) AIP Publishing 2016 Article PeerReviewed text en http://eprints.sunway.edu.my/437/1/Pooi%20Ah%20Hin%207.pdf Ang, Siew Ling * and Pooi, Ah Hin * (2016) Prediction of reserves using multivariate power-normal mixture distribution. AIP Conference Proceedings, 1782 (050003). pp. 1-7. ISSN 1551 7616 http://aip.scitation.org http://dx.doi.org/10.1063/1.4966093 |
| spellingShingle | HA Statistics HG Finance Ang, Siew Ling * Pooi, Ah Hin * Prediction of reserves using multivariate power-normal mixture distribution |
| title | Prediction of reserves using multivariate power-normal mixture distribution
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| title_full | Prediction of reserves using multivariate power-normal mixture distribution
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| title_fullStr | Prediction of reserves using multivariate power-normal mixture distribution
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| title_full_unstemmed | Prediction of reserves using multivariate power-normal mixture distribution
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| title_short | Prediction of reserves using multivariate power-normal mixture distribution
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| title_sort | prediction of reserves using multivariate power-normal mixture distribution |
| topic | HA Statistics HG Finance |
| url | http://eprints.sunway.edu.my/437/ http://eprints.sunway.edu.my/437/ http://eprints.sunway.edu.my/437/ http://eprints.sunway.edu.my/437/1/Pooi%20Ah%20Hin%207.pdf |