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ESSAYS ON LOSS RESERVING AND ACCOUNTING CONSERVATISM
2020This dissertation has three chapters studying accounting conservatism in the property-liability (P&L) insurance industry. There are two types of accounting conservatism – ex-ante (unconditional) conservatism and ex-post (conditional) conservatism.
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Unallocated loss adjustment expense reserving
Scandinavian Actuarial Journal, 2014In non-life insurance, the provision for outstanding claims (the claims reserve) should include future loss adjustment expenses, i.e. administrative expenses to settle the claims, and therefore we have to estimate the expected Unallocated Loss Adjustment Expenses (ULAE) – expenses that are not attributable to individual claims, such as salaries at the ...
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Linear Models (Loss Reserving)
2016Linear models and Gauss–Markov predictors are also useful in loss reserving. Some particularities arise from the structure of the run-off square and from the task to determine Gauss–Markov predictors of different reserves. We explain these particularities and then discuss a special linear model for loss reserving.
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Loss reserving with kernel functions
2017Loss reserving is a fundamental concept of actuarial mathematics. A traditionally used method is the chain ladder method. While it is a simple and robust method and works well in many cases, it also has its limitations. The chain ladder method is applied to aggregated data triangle, in a way similar to constructing histograms.
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Micro-level stochastic loss reserving for general insurance
Scandinavian Actuarial Journal, 2014Katrien Antonio
exaly
Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models
Communications in Statistics - Theory and Methods, 2015Chunjuan Qiu
exaly