Estimating loss reserves using hierarchical Bayesian Gaussian process regression with input warping
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Cites work
- A Bayesian log-normal model for multivariate loss reserving
- A NON-PARAMETRIC METHOD FOR INCURRED BUT NOT REPORTED CLAIM RESERVE ESTIMATION
- Claims reserving: A correlated Bayesian model
- Gaussian processes for machine learning.
- Interpolation of spatial data. Some theory for kriging
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- Statistics for spatio-temporal data
- Stochastic claims reserving methods in insurance
- The Geometry of Random Fields
- The no-U-turn sampler: adaptively setting path lengths in Hamiltonian Monte Carlo
Cited in
(4)- Estimation of loss reserves based on a hierarchical Bayesian model
- Stochastic multi-fidelity surrogate modeling of dendritic crystal growth
- Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels
- A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
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