Modeling accounting year dependence in runoff triangles
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Cites work
- scientific article; zbMATH DE number 40987 (Why is no real title available?)
- scientific article; zbMATH DE number 2231189 (Why is no real title available?)
- A Bayesian log-normal model for multivariate loss reserving
- A course in credibility theory and its applications
- Accounting year effects modeling in the stochastic chain ladder reserving method
- Claims reserving in the hierarchical generalized linear model framework
- Diagonal effects in claims reserving
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- Generalized Linear Models with Random Effects
- Identification of the age-period-cohort model and the extended chain-ladder model
- Risk margin for a non-life insurance run-off
- Stochastic claims reserving methods in insurance
Cited in
(17)- Forecasting runoff triangles
- Diagonal effects in claims reserving
- Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
- A copula regression for modeling multivariate loss triangles and quantifying reserving variability
- Assessing inflation risk in non-life insurance
- Signs of dependence and heavy tails in non-life insurance data
- Claims reserving when there are negative values in the runoff triangle
- Bayesian solvency analysis with autocorrelated observations
- Modelling Claims Runoff Triangles with Two-dimensional Time Series
- Sarmanov family of bivariate distributions for multivariate loss reserving analysis
- Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics
- Modeling dependence between loss triangles with hierarchical Archimedean copulas
- Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
- Accounting year effects modeling in the stochastic chain ladder reserving method
- Calendar year effect modeling for claims reserving in HGLM
- An incremental loss ratio method using prior information on calendar year effects
- Stochastic claims reserving via a Bayesian spline model with random loss ratio effects
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