Claims reserving and generalised additive models

DOI10.1016/S0167-6687(96)00000-5zbMath0894.62114MaRDI QIDQ1381140

Richard J. Verrall

Publication date: 17 March 1998

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

zbMATH Keywords

S-PLUS; generalized additive models; nonparametric smoothing; claims reserving; chain-ladder technique

Mathematics Subject Classification ID

62G07: Density estimation

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

65C99: Probabilistic methods, stochastic differential equations

Related Items

Robust lagfactors, Robust Bayesian analysis of loss reserving data using scale mixtures distributions, Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty, STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTS, FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING, Kernel Poisson regression machine for stochastic claims reserving, Parameter reduction in log-normal chain-ladder models, A generalized linear model with smoothing effects for claims reserving, Modelling negatives in stochastic reserving models, More on Robust Lagfactors

Uses Software

• R
• S-PLUS

Cites Work

• Moving weighted average graduation using kernel estimation
• On the estimation of reserves from loglinear models
• Which stochastic model is underlying the chain ladder method?
• Dynamic Generalized Linear Models and Bayesian Forecasting
• An extended quasi-likelihood function
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