1 citations · 1 across the 4 of their papers we have counts for
5 papers
Conditional Prediction for Macro-Level Claims Reserving: What a Single Paid Triangle Identifies
Robin Van Oirbeek, Tim Verdonck
Macro-level reserve uncertainty is assessed from a single realised run-off triangle. The target is therefore the conditional predictive distribution of the outstandin…
The Negative Binomial Chain-Ladder: A Full Likelihood Model for Claim Count Reserving
Robin Van Oirbeek
The Chain-Ladder (CL) method remains the dominant macro-level technique for claims reserving in non-life insurance, yet its classical formulation lacks a coherent probabilistic fou…
mCube: Multinomial Micro-level reserving Model
Emmanuel Jordy Menvouta, Jolien Ponnet, Robin Van Oirbeek +1
This paper presents a multinomial multi-state micro-level reserving model, denoted mCube. We propose a unified framework for modelling the time and the payment process for IBNR and…
Computational Efficient Approximations of the Concordance Probability in a Big Data Setting
Robin Van Oirbeek, Jolien Ponnet, Tim Verdonck
Performance measurement is an essential task once a statistical model is created. The Area Under the receiving operating characteristics Curve (AUC) is the most popular measure for…
Concordance probability in a big data setting: application in non-life insurance
Robin Van Oirbeek, Christopher Grumiau, Tim Verdonck
The concordance probability or C-index is a popular measure to capture the discriminatory ability of a regression model. In this article, the definition of this measure is adapted…