A copula regression for modeling multivariate loss triangles and quantifying reserving variability

DOI10.1017/ASB.2013.23MaRDI QIDQ5410251zbMATH OpenOpenAlexFDO

Authors Peng Shi

Publication date 16 April 2014

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2013.23

zbMATH Keywords

calendar year effectscopuladependent loss reservingpredictive uncertainty

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• “A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012
• A Bayesian log-normal model for multivariate loss reserving
• A small-sample correction for the Schwarz SIC model selection criterion.
• Asymptotic efficiency of the two-stage estimation method for copula-based models
• Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling
• Further analysis of the data by Akaike's information criterion and the finite corrections
• Heavy-tailed longitudinal data modeling using copulas
• Model uncertainty in claims reserving within Tweedie's compound Poisson models
• Modeling accounting year dependence in runoff triangles
• Paid-incurred chain reserving method with dependence modeling
• Regression and time series model selection in small samples
• Stochastic claims reserving methods in insurance

Cited in

(14)

• Total loss estimation using copula-based regression models
• Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
• Conditional least squares and copulae in claims reserving for a single line of business
• Univariate and multivariate claims reserving with generalized link ratios
• The reserving for outstanding losses based on multivariate t-copula model
• Spatial dependence and aggregation in weather risk hedging: a Lévy subordinated hierarchical Archimedean copulas (LSHAC) approach
• Modeling dependence between loss triangles with hierarchical Archimedean copulas
• Common shock models for claim arrays
• SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION
• Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics
• A Bayesian log-normal model for multivariate loss reserving
• Sarmanov family of bivariate distributions for multivariate loss reserving analysis
• A general multivariate chain ladder model
• A Tweedie Compound Poisson Model in Reproducing Kernel Hilbert Space

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