Tweedie double GLM loss triangles with dependence within and across business lines
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Publication:2066787
DOI10.1007/s13385-021-00267-0zbMath1480.91180arXiv2007.07068MaRDI QIDQ2066787
Mélina Mailhot, Frédéric Godin, Carlos Andrés Araiza Iturria
Publication date: 14 January 2022
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2007.07068
risk measures; capital allocation; risk aggregation; double generalized linear models; IFRS 17; loss triangles
62P05: Applications of statistics to actuarial sciences and financial mathematics
91B70: Stochastic models in economics
91G05: Actuarial mathematics
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