A linear prediction model for RBNS

MaRDI QIDQ3109331zbMATH OpenFDO

Authors Xueli Yu, Xianyi Wu

Publication date 27 January 2012

zbMATH Keywords

chain ladderclaims reserveslinear prediction

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(7)

• Polya tree priors and their estimation with multi-group data
• Prediction of RBNS and IBNR claims using claim amounts and claim counts
• Individual RBNS loss reserving in a discrete time model
• Estimation of IBNR and RBNS reserve by detailed conditioning method
• Evaluation of individual RBNS loss reserving based on generalized linear model
• Lognormal mixed models for reported claims reserves
• Collective reserving using individual claims data

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