英文标题：
《Modeling the number of hidden events subject to observation delay》
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作者：
Jonas Crevecoeur, Katrien Antonio and Roel Verbelen
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最新提交年份：
2019
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英文摘要：
This paper considers the problem of predicting the number of events that have occurred in the past, but which are not yet observed due to a delay. Such delayed events are relevant in predicting the future cost of warranties, pricing maintenance contracts, determining the number of unreported claims in insurance and in modeling the outbreak of diseases. Disregarding these unobserved events results in a systematic underestimation of the event occurrence process. Our approach puts emphasis on modeling the time between the occurrence and observation of the event, the so-called observation delay. We propose a granular model for the heterogeneity in this observation delay based on the occurrence day of the event and on calendar day effects in the observation process, such as weekday and holiday effects. We illustrate this approach on a European general liability insurance data set where the occurrence of an accident is reported to the insurer with delay.
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中文摘要：
本文考虑了预测过去发生但由于延迟尚未观测到的事件数量的问题。此类延迟事件与预测未来保修成本、维护合同定价、确定保险中未报告索赔的数量以及疾病爆发的建模相关。忽视这些未观察到的事件会导致对事件发生过程的系统性低估。我们的方法强调对事件发生和观察之间的时间进行建模，即所谓的观察延迟。我们提出了一个基于事件发生日期和观察过程中日历日效应（如工作日和假日效应）的观察延迟异质性的粒度模型。我们在欧洲一般责任保险数据集上说明了这种方法，其中事故的发生会延迟报告给保险人。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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