Predicting the number of outstanding claims (IBNR) is a central problem in actuarial loss reserving. Classical approaches like the Chain Ladder method rely on aggregating the available data in form of loss triangles, thereby wasting potentially useful additional claims information. A new...

Usually, the actuarial problems of predicting the number of claims incurred but not reported (IBNR) and of modelling claim frequencies are treated successively by insurance companies. New micro-level methods designed for large datasets are proposed that address the two problems simultaneously....

Abstract Nonparametric estimation of tail dependence can be based on a standardization of the marginals if their cumulative distribution functions are known. In this paper it is shown to be asymptotically more efficient if the additional knowledge of the marginals is ignored and estimators are...

We derive tests of stationarity for univariate time series by combining change‐point tests sensitive to changes in the contemporary distribution with tests sensitive to changes in the serial dependence. The proposed approach relies on a general procedure for combining dependent tests based on...

A new measure of asymmetry in dependence is proposed which is based on taking the difference between the margin-free coskewness parameters of the underlying copula. The new measure and a related test are applied to both a hydrological and a financial market data sample and we show that both...