A state space model for rub-off triangles

DOI10.1002/ASMB.484MaRDI QIDQ4827957zbMATH OpenOpenAlexFDO

Authors Teresa Alpuim, Isabel Martins Ribeiro

Publication date 24 November 2004

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.484

zbMATH Keywords

Kalman filterparameter estimationmean square errorclaim reservingchain ladder modelforecast error

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Management decision making, including multiple objectives (90B50)

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Cites work

• IBNR-claims and the two-way model of ANOVA

Cited in

(7)

• Modelling Claims Runoff Triangles with Two-dimensional Time Series
• Applying state space models to stochastic claims reserving
• Loss prediction based on run-off triangles
• Parameter estimation of state space models for univariate observations
• Holt-winters method for run-off triangles in claims reserving
• A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
• Dynamic factor models for claim reserving

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