Forecasting runoff triangles
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Recommendations
- Modelling Claims Runoff Triangles with Two-dimensional Time Series
- Loss prediction based on run-off triangles
- New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
- Modeling accounting year dependence in runoff triangles
- The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
Cites work
- A class of autoregressive models for predicting the final claims amount
- Diagnosing Shocks in Time Series
- scientific article; zbMATH DE number 3133146 (Why is no real title available?)
- scientific article; zbMATH DE number 44406 (Why is no real title available?)
- Modelling Claims Runoff Triangles with Two-dimensional Time Series
- On the distribution of IBNR reserves
- Smoothing and Interpolation with the State-Space Model
- Which stochastic model is underlying the chain ladder method?
Cited in
(22)- Model mortality rates using property and casualty insurance reserving methods
- Claims reserving: A correlated Bayesian model
- Univariate and multivariate claims reserving with generalized link ratios
- Modelling Claims Runoff Triangles with Two-dimensional Time Series
- scientific article; zbMATH DE number 2011596 (Why is no real title available?)
- Modeling dependence between loss triangles with hierarchical Archimedean copulas
- Common shock models for claim arrays
- New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
- Robust Bayesian analysis of loss reserving data using scale mixtures distributions
- Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis
- A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
- Applying state space models to stochastic claims reserving
- Sarmanov family of bivariate distributions for multivariate loss reserving analysis
- An incremental loss ratio method using prior information on calendar year effects
- Holt-winters method for run-off triangles in claims reserving
- Dynamic factor models for claim reserving
- A log-normal chain ladder model closely aligning with Mack's assumptions
- Claims reserving by using log-Gaussian process regression
- Dependence modelling on loss triangles: copula regression with unobserved effect
- A chain ladder method using prior information on calendar year effects
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- Assessing inflation risk in non-life insurance
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