Tweedie double GLM loss triangles with dependence within and across business lines
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Publication:2066787
DOI10.1007/s13385-021-00267-0zbMath1480.91180arXiv2007.07068OpenAlexW3157830056MaRDI QIDQ2066787
Mélina Mailhot, Carlos Andrés Araiza Iturria, Frédéric Godin
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 measurescapital allocationrisk aggregationdouble generalized linear modelsIFRS 17loss triangles
Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Actuarial mathematics (91G05)
Uses Software
Cites Work
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