INTEGER-VALUED AUTOREGRESSIVE(1) POISSON PROCESS APPLICATION FOR MODELLING INCURRED BUT NOT REPORTED CLAIM COUNTS: YULLER-WALKER METHOD AND ITERATIVE WEIGHTED CONDITIONAL LEAST SQUARES ESTIMATION METHOD
An insurance company need to determine its claims reserve. The Chain-Ladder and the Bornhuetter-Ferguson methods are often used to estimate the outstanding claims liability. However, both methods do not assume any distributions to the underlying data. In this final project, a time-series model, name...
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| Format: | Final Project |
| Language: | Indonesia |
| Online Access: | https://digilib.itb.ac.id/gdl/view/42424 |
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| Institution: | Institut Teknologi Bandung |
| Language: | Indonesia |