4 papers
State-Space Representation of INGARCH Models and Their Application in Insurance
Jae Youn Ahn, Hong Beng Lim, Mario V. Wüthrich
Integer-valued generalized autoregressive conditional heteroskedastic (INGARCH) models are a popular framework for modeling serial dependence in count time-series. While convenient…
Model Monitoring: A General Framework with an Application to Non-life Insurance Pricing
Alexej Brauer, Paul Menzel, Mario V. Wüthrich
Maintaining the predictive performance of pricing models is challenging when insurance portfolios and data-generating mechanisms evolve over time. Focusing on non-life insurance, w…
An Observation-Driven State-Space Model for Claims Size Modeling
Jae Youn Ahn, Himchan Jeong, Mario V. Wüthrich
State-space models are popular models in econometrics. Recently, these models have gained some popularity in the actuarial literature. The best known state-space models are of Kalm…
Claims processing and costs under capacity constraints
Filip Lindskog, Mario V. Wüthrich
Random delays between the occurrence of accident events and the corresponding reporting times of insurance claims is a standard feature of insurance data. The time lag between the…