A class of autoregressive models for predicting the final claims amount

DOI10.1016/0167-6687(84)90049-0zbMath0566.62090MaRDI QIDQ1059357

Erhard Kremer

Publication date: 1984

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(84)90049-0

zbMATH Keywords

autoregressive models; forecasting the final claims amount; loss-reserves

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

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Lineare gleichungssysteme und lineare modelle in der versicherungsmathematik, Nonlinear models in claim reserving, INAR and IBNR, Forecasting Runoff Triangles, NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES, Stochastie Scadeninflation in IBNR;Stochastic claims inflation in IBNR, Minimum distance loss-reserving, FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING, A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion), On the variance parameter estimator in general linear models, Random coefficient autoregressive loss reserving

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