Dynamic factor models for claim reserving

DOI10.1007/S42081-024-00257-YMaRDI QIDQ6670093zbMATH OpenFDO

Authors Shunichi Nomura, Yoshihiro Matsumori

Publication date 22 January 2025

Published in Japanese Journal of Statistics and Data Science (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S42081-024-00257-Y

zbMATH Keywords

claim reservingdynamic factor modelloss development factorsmulti-triangle modelrun-off triangle

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A general multivariate chain ladder model
• A state space model for rub-off triangles
• Applying state space models to stochastic claims reserving
• Forecasting runoff triangles
• scientific article; zbMATH DE number 5843399 (Why is no real title available?)
• Paid-incurred chain claims reserving method
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• Time series analysis by state space methods.

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