A size-of-loss model for the negatively skewed insurance claims data: applications, risk analysis using different methods and statistical forecasting.
J Appl Stat
; 51(2): 348-369, 2024.
Article
em En
| MEDLINE
| ID: mdl-38351978
ABSTRACT
The future values of the expected claims are very important for the insurance companies for avoiding the big losses under uncertainty which may be produced from future claims. In this paper, we define a new size-of-loss distribution for the negatively skewed insurance claims data. Four key risk indicators are defined and analyzed under four estimation methods:
maximum likelihood, ordinary least squares, weighted least squares, and Anderson Darling. The insurance claims data are modeled using many competitive models and comprehensive comparison is performed under nine statistical tests. The autoregressive model is proposed to analyze the insurance claims data and estimate the future values of the expected claims. The value-at-risk estimation and the peaks-over random threshold mean-of-order-p methodology are considered.
Texto completo:
1
Coleções:
01-internacional
Base de dados:
MEDLINE
Tipo de estudo:
Etiology_studies
/
Risk_factors_studies
Idioma:
En
Revista:
J Appl Stat
Ano de publicação:
2024
Tipo de documento:
Article
País de afiliação:
Egito
País de publicação:
Reino Unido