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Items where City Author is "Verrall, R. J."

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Number of items: 31.

Article

Margraf, C., Elpidorou, V. and Verrall, R. J. (2018). Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data. Insurance: Mathematics and Economics, 80, pp. 54-65. doi: 10.1016/j.insmatheco.2018.03.001

Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2016). Geometrically designed, variable knot regression splines. Computational Statistics, 31(3), pp. 1079-1105. doi: 10.1007/s00180-015-0621-7

Martinez-Miranda, M. D., Nielsen, J. P., Verrall, R. J. and Wüthrich, M. V. (2015). Double chain ladder, claims development inflation and zero-claims. Scandinavian Actuarial Journal, 2015(5), pp. 383-405. doi: 10.1080/03461238.2013.823459

Verrall, R. J. and Wüthrich, M. V. (2015). Parameter Reduction in Log-normal Chain-ladder Models. European Actuarial Journal, 5(2), pp. 355-380. doi: 10.1007/s13385-015-0114-7

Nielsen, J. P., Agbeko, T., Miranda, M. D. M. and Verrall, R. J. (2014). Validating the double chain ladder stochastic claims reserving model. Variance: advancing the science of risk, 8(2), pp. 138-160.

Martinez-Miranda, M. D., Nielsen, J. P., Sperlich, S. and Verrall, R. J. (2013). Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem. Expert Systems with Applications, 40(14), pp. 5588-5603. doi: 10.1016/j.eswa.2013.04.006

Martinez-Miranda, M. D., Nielsen, J. P. and Verrall, R. J. (2013). Double Chain Ladder and Bornhuetter-Ferguson. North American Actuarial Journal, 17(2), pp. 101-113. doi: 10.1080/10920277.2013.793158

Verrall, R. J. and Wüthrich, M. V. (2012). Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving. North American Actuarial Journal, 16(2), pp. 240-259. doi: 10.1080/10920277.2012.10590639

England, P. D., Verrall, R. J. and Wüthrich, M. V. (2012). Bayesian Overdispersed Poisson Model and the Bornhuetter-Ferguson Claim Reserving Method. Annals of Actuarial Science, 6(2), pp. 258-283. doi: 10.1017/S1748499512000012

Martinez-Miranda, M. D., Nielsen, J. P. and Verrall, R. J. (2012). Double Chain Ladder. ASTIN Bulletin, 42(1), pp. 59-76.

Verrall, R. J., Hossjer, O. and Bjorkwall, S. (2012). Modelling Claims Run-off with Reversible Jump Markov Chain Monte Carlo Methods. ASTIN Bulletin, 42(1), pp. 35-58.

Verrall, R. J. and Haberman, S. (2011). Automated Graduation using Bayesian Trans-dimensional Models. Annals of Actuarial Science, 5(2), pp. 231-251. doi: 10.1017/S1748499511000248

Sithole, T., Haberman, S. and Verrall, R. J. (2011). Second international comparative study of mortality tables for pension fund retirees. British Actuarial Journal, 17(3), pp. 650-671. doi: 10.1017/S1357321712000207

Bjorkwall, S., Hossjer, O., Ohlsson, E. and Verrall, R. J. (2011). A generalized linear model with smoothing effects for claims reserving. Insurance: Mathematics and Economics, 49(1), pp. 27-37. doi: 10.1016/j.insmatheco.2011.01.012

Martinez-Miranda, M. D., Nielsen, B., Nielsen, J. P. and Verrall, R. J. (2011). Cash flow simulation for a model of outstanding liabilities based on claim amounts and claim numbers. ASTIN Bulletin, 41(1), pp. 107-129.

Haberman, S., Khalaf-Allah, M.A.E. and Verrall, R. J. (2011). Entropy, longevity and the cost of annuities. Insurance: Mathematics and Economics, 48(2), pp. 197-204. doi: 10.1016/j.insmatheco.2010.10.005

Verrall, R. J., Nielsen, J. P. and Jessen, A. H. (2010). Prediction of RBNS and IBNR claims using claim amounts and claim counts. ASTIN Bulletin, 40(2), pp. 871-887.

Liu, H. and Verrall, R. J. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves Using Paid and Incurred Claims. Variance, 4, pp. 121-135.

Liu, H. and Verrall, R. J. (2009). A Bootstrap Estimate of the Predictive Distribution of Outstanding Claims for the Schnieper Model. ASTIN Bulletin, 39(2), pp. 677-689. doi: 10.2143/AST.39.2.2044653

Butt, Z., Haberman, S., Verrall, R. J. and Wass, V. (2008). Calculating compensation for loss of future earnings: estimating and using work life expectancy. Journal of the Royal Statistical Society: Series A (Statistics in Society), 171(4), pp. 763-805. doi: 10.1111/j.1467-985X.2007.00539.x

Monograph

Dimitrova, D. S., Kaishev, V. K., Lattuada, L. and Verrall, R. J. (2017). Geometrically Designed Variable Knot Splines in Generalized (Non-)Linear Models. .

Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2006). Geometrically designed, variable knot regression splines: variation diminish optimality of knots (Report No. Statistical Research Paper No. 29). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2006). Geometrically designed, variable know regression splines: asymptotics and inference (Report No. Statistical Research Paper No. 28). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2004). Automatic, computer aided geometric design of free-knot, regression splines (Report No. Statistical Research Paper No. 24). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Verrall, R. J. (2001). A Bayesian generalised linear model for the Bornhuetter-Ferguson method of claims reserving (Report No. Actuarial Research Paper No. 139). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Verrall, R. J. and Yakoubov, Y. H. (1998). A fuzzy approach to grouping by policyholder age in general insurance (Report No. Actuarial Research Paper No. 104). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Huber, P. P. and Verrall, R. J. (1998). The need for theory in actuarial economic models (Report No. Actuarial Research Paper No. 109). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Verrall, R. J. (1996). A unified framework for graduation (Report No. Actuarial Research Paper No. 91). London, UK: Faculty of Actuarial Science & Insurance, City University London.

Conference or Workshop Item

Verrall, R. J. and Liu, H. (2010). Bootstrap Estimation of the Predictive Distributions of Reserves using Paid and Incurred Claims. Paper presented at the ASTIN Colloquium 2008, 13-16 Jul 2008, Manchester, UK.

Thesis

Verrall, R. J. (1989). Stochastic Models for Triangular Tables with Applications to Cohort Data and Claims Reserving. (Unpublished Doctoral thesis, City University London)

Report

Kaishev, V. K., Dimitrova, D. S., Haberman, S. and Verrall, R. J. (2006). Geometrically Designed, Variable Knot Regression Splines: Asymptotics and Inference (Report No. Statistical Research Paper No. 28). Cass Business School, City University, London.

This list was generated on Sun Dec 16 04:31:38 2018 UTC.