Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Modelling of premium and reserve risk in Solvency II

2018/31/B/HS4/02150

Keywords:

One-year risk ultimate risk dependencies between lines of business in reserve risk Monte Carlo simulation neural networks model of claims development

Descriptors:

  • HS4_3: Econometrics, statistical methods

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Szkoła Główna Handlowa w Warszawie, Kolegium Analiz Ekonomicznych

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr hab. Łukasz Delong 

Number of co-investigators in the project: 2

Call: OPUS 16 - announced on 2018-09-14

Amount awarded: 123 200 PLN

Project start date (Y-m-d): 2019-07-24

Project end date (Y-m-d): 2022-07-23

Project duration:: 36 months (the same as in the proposal)

Project status: Project settled

Project description

Download the project description in a pdf file

Note - project descriptions were prepared by the authors of the applications themselves and placed in the system in an unchanged form.

Equipment purchased [PL]

  1. Laptop (7 072 PLN)

Information in the final report

  • Publication in academic press/journals (6)
  • Book publications / chapters in book publications (1)
  1. Neural networks for the joint development of individual payments and claim incurred
    Authors:
    Łukasz Delong, Mario Wuthrich
    Academic press:
    Risks (rok: 2020, tom: 8, strony: 12420), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks8020033 - link to the publication
  2. One-year and ultimate reserve risk in Mack Chain Ladder model
    Authors:
    Łukasz Delong, Marcin Szatkowski
    Academic press:
    Risks (rok: 2021, tom: 9, strony: 45320), Wydawca: MDPI
    Status:
    Published
    DOI:
    10.3390/risks9090152 - link to the publication
  3. One-year premium risk and emergence pattern of ultimate loss based on conditional distribution
    Authors:
    Łukasz Delong, Marcin Szatkowski
    Academic press:
    ASTIN Bulletin (rok: 2020, tom: 50, strony: 479-511), Wydawca: Cambridge University Press
    Status:
    Published
    DOI:
    10.1017/asb.2020.10 - link to the publication
  4. Study of actuarial characteristics of one-year and ultimate reserve risk distributions based on market data
    Authors:
    Marcin Szatkowski
    Academic press:
    Central European Journal of Economic Modelling and Econometrics (rok: 2022, ), Wydawca: Polish Academy of Sciences - Łódź
    Status:
    Accepted for publication
    DOI:
    brak - link to the publication
  5. One-year and ultimate correlations in dependent claims run-off triangles
    Authors:
    Łukasz Delong, Marcin Szatkowski
    Academic press:
    Annals of Actuarial Science (rok: 2022, ), Wydawca: Cambridge University Press
    Status:
    Submitted
    DOI:
    brak - link to the publication
  6. Collective reserving using individual claims data
    Authors:
    Łukasz Delong, Mathias Lindholm, Mario Wuthrich
    Academic press:
    Scandinavian Actuarial Journal (rok: 2021, tom: 1, strony: 45319), Wydawca: Taylor and Francis
    Status:
    Published
    DOI:
    10.1080/03461238.2021.1921836 - link to the publication
  1. Additional aspects of one-year premium risk and emergence pattern of ultimate loss based on conditional distribution
    Authors:
    Marcin Szatkowski
    Book:
    Metody ekonometryczne, statystyczne i matematyczne w modelowaniu zjawisk społecznych, Tom I, Metody probabilistyczne w zastosowaniach ekonomicznych (rok: 2020, tom: 1, strony: 151-172), Wydawca: Oficyna Wydawnicza SGH
    Status:
    Published

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