Reserve estimate based on the claims data of individual customers
Suppose the claims data of individual customers consist of the delay times in reporting the claims, delay times in payments and the severities of claims. A mixture of two multivariate power-normal (MPN) distributions and a degenerate distribution is fitted to the vector of variables consisting of th...
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my.um.eprints.350422022-09-07T08:12:31Z http://eprints.um.edu.my/35042/ Reserve estimate based on the claims data of individual customers Ang, Siew Ling Pooi, Ah Him Ng, Kok Haur QA Mathematics Suppose the claims data of individual customers consist of the delay times in reporting the claims, delay times in payments and the severities of claims. A mixture of two multivariate power-normal (MPN) distributions and a degenerate distribution is fitted to the vector of variables consisting of the sum insured, the claim and payment records until the present time and the outstanding claims liabilities (OCL). When the sum insured together with the claim and payment records of a customer until the present time are given, a conditional distribution of the OCL is derived from the fitted MPN mixture distribution. The distribution of the sum of the OCL over the customers in a company is obtained from the conditional distributions of the OCL pertaining to the individual customers. From the distribution of the sum of OCL, the provision of risk margin for adverse deviation can be calculated to provide a 75% level of capital adequacy at the company level. Institute for Mathematical Research (INSPEM), Universiti Putra Malaysia 2021-05 Article PeerReviewed Ang, Siew Ling and Pooi, Ah Him and Ng, Kok Haur (2021) Reserve estimate based on the claims data of individual customers. Malaysian Journal of Mathematical Sciences, 15 (2). pp. 323-331. ISSN 1823-8343, |
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QA Mathematics Ang, Siew Ling Pooi, Ah Him Ng, Kok Haur Reserve estimate based on the claims data of individual customers |
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Suppose the claims data of individual customers consist of the delay times in reporting the claims, delay times in payments and the severities of claims. A mixture of two multivariate power-normal (MPN) distributions and a degenerate distribution is fitted to the vector of variables consisting of the sum insured, the claim and payment records until the present time and the outstanding claims liabilities (OCL). When the sum insured together with the claim and payment records of a customer until the present time are given, a conditional distribution of the OCL is derived from the fitted MPN mixture distribution. The distribution of the sum of the OCL over the customers in a company is obtained from the conditional distributions of the OCL pertaining to the individual customers. From the distribution of the sum of OCL, the provision of risk margin for adverse deviation can be calculated to provide a 75% level of capital adequacy at the company level. |
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Article |
author |
Ang, Siew Ling Pooi, Ah Him Ng, Kok Haur |
author_facet |
Ang, Siew Ling Pooi, Ah Him Ng, Kok Haur |
author_sort |
Ang, Siew Ling |
title |
Reserve estimate based on the claims data of individual customers |
title_short |
Reserve estimate based on the claims data of individual customers |
title_full |
Reserve estimate based on the claims data of individual customers |
title_fullStr |
Reserve estimate based on the claims data of individual customers |
title_full_unstemmed |
Reserve estimate based on the claims data of individual customers |
title_sort |
reserve estimate based on the claims data of individual customers |
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Institute for Mathematical Research (INSPEM), Universiti Putra Malaysia |
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2021 |
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http://eprints.um.edu.my/35042/ |
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