• Communications for Statistical Applications and Methods
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• v.24 no.3
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• pp.211-226
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• 2017

The chain-ladder method, for which run-off data is employed is popularly used in the rate-adjustment and loss-reserving practices of non-life-insurance and health-insurance companies. The method is applicable when the underlying assumption of a consistent development pattern is in regards to a cumulative loss payment after the occurrence of an insurance event. In this study, a modified chain-ladder algorithm is proposed for when the assumption is considered to be only partially appropriate for the given run-off data. The concept of a structural-change point in the run-off data and its reflection in the estimation of unpaid loss amounts are discussed with numerical illustrations. Experience data from private health insurance coverage in Korea were analyzed based on the suggested method. The performance in estimation of loss reserve was also compared with traditional approaches. We present evidence in this paper that shows that a reflection of a structural-change point in the chain-ladder method can improve the risk management of the relevant insurance products. The suggested method is expected to be utilized easily in actuarial practice as the algorithm is straightforward.

• Journal of the Korean Data and Information Science Society
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• v.19 no.4
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• pp.1419-1427
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• 2008

This paper shows the kernel Poisson regression which can be applied in the claims reserving, where the row effect is assumed to be a nonlinear function of the row index. The paper concentrates on the chain-ladder technique, within the framework of the chain-ladder linear model. It is shown that the proposed method can provide better reserve estimates than the Poisson model. The cross validation function is introduced to choose optimal hyper-parameters in the procedure. Experimental results are then presented which indicate the performance of the proposed model.

• Communications for Statistical Applications and Methods
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• v.15 no.4
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• pp.551-562
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• 2008

The loss reserve is defined as a provision for an insurer's liability for claims or an insurer's estimate of the amount an individual claim will ultimately cost. For the estimation of the loss reserve, the data which make up the claims in general is represented as run-off triangle. The chain ladder method has known as the most representative one in the estimation of loss reserves based on such run-off triangular data. However, this fails to capture change point in trend. In order to test of structural changes of development factors, we will present the test statistics and procedures. A real data analysis will also be provided.

• International Journal of Internet, Broadcasting and Communication
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• v.6 no.1
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• pp.9-12
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• 2014

We present a mathematical method for calculation of transmission zero locations, determining a filtering characteristics of two-port systems. By adjusting element values based on the zero locations, the frequency-selectivity is characterized. The characteristic polynomial of ladder networks in externally-loaded feed-forward systems is considered by adopting chain matrices for subsystems. This method can be extended to other types of lumped systems with cross-coupled sections. We find out the zeros by solving characteristics polynomials of closed-form expressions in terms of Laplace impedances of elements. The pairs of complex zeros are shown to be solely from the cross-coupled portion of the system.

• Communications for Statistical Applications and Methods
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• v.30 no.2
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• pp.163-178
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• 2023

GARCH-X(1, 1) model specifies that conditional variance follows an AR(1) process and includes a past exogenous variable. This study proposes a new class from that model by allowing a more general (non-linear) variance function to follow an AR(1) process. The functions applied to the variance equation include exponential, Tukey's ladder, and Yeo-Johnson transformations. In the framework of normal and student-t distributions for return errors, the empirical analysis focuses on two stock indices data in developed countries (FTSE100 and SP500) over the daily period from January 2000 to December 2020. This study uses 10-minute realized volatility as the exogenous component. The parameters of considered models are estimated using the adaptive random walk metropolis method in the Monte Carlo Markov chain algorithm and implemented in the Matlab program. The 95% highest posterior density intervals show that the three transformations are significant for the GARCHX(1, 1) model. In general, based on the Akaike information criterion, the GARCH-X(1, 1) model that has return errors with student-t distribution and variance transformed by Tukey's ladder function provides the best data fit. In forecasting value-at-risk with the 95% confidence level, the Christoffersen's independence test suggest that non-linear models is the most suitable for modeling return data, especially model with the Tukey's ladder transformation.

• Advances in materials Research
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• v.3 no.2
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• pp.117-128
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• 2014

Processable conducting polyaniline derivative with free amine functional groups was successfully synthesized from the monomer o-phenylenediamine in aqueous hydrochloric acid medium using ammonium persulfate as an oxidative initiator. The synthesized poly(o-phenylenediamine) (PoPD) in critical condition was found to be completely soluble in common organic solvents like dimethyl sulfoxide, N,N-dimethyl formamide etc. From the intrinsic viscosity measurement, the optimum condition for the polymerization was established. The polymer was characterized by ultraviolet visible spectroscopy, Fourier transform infrared spectroscopy, proton magnetic resonance spectroscopy ($^1HNMR$) and thermogravimetric (TGA) analyses. The weight average molecular weights of the synthesized polymers were determined by the dynamic light scattering (DLS) method. From the spectroscopic analysis the structure was found to resemble that of polyaniline derivative with free amine functional groups attached to ortho/meta position in the phenyl ring. However, very little ladder unit was also present with in the polymer chain. The moderate thermal stability of the synthesized polymer could be found from the TGA analysis. The average DC conductivity of $2.8{\times}10^{-4}S/cm$ was observed for the synthesized polymer pellet after doping with hydrochloric acid.