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

• Main Author: Sugiono, Daniel
• Format: Final Project
• Language: Indonesia
• Online Access: https://digilib.itb.ac.id/gdl/view/42424
• Institution: Institut Teknologi Bandung

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...