Regression based reserving models and partial information

DOI10.1016/J.INSMATHECO.2020.07.001MaRDI QIDQ2212145zbMATH OpenOpenAlexFDO

Authors M. Lindholm, Richard Verrall

Publication date 19 November 2020

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.07.001

zbMATH Keywords

distribution-free linear modelsestimation errorgeneralised least squarespartial informationprediction error

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

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• Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis

Cites work

• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Addendum to: ``The multi-year non-life insurance risk in the additive reserving model: Quantification of multi-year non-life insurance risk in chain ladder reserving models
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• Claims Reserving with a Stochastic Vector Projection
• Double chain ladder
• scientific article; zbMATH DE number 3686629 (Why is no real title available?)
• scientific article; zbMATH DE number 47310 (Why is no real title available?)
• scientific article; zbMATH DE number 3519741 (Why is no real title available?)
• Micro-level stochastic loss reserving for general insurance
• Negative multinomial distribution
• Prediction of RBNS and IBNR claims using claim amounts and claim counts
• Regression. Models, methods and applications.
• Stochastic loss reserving in discrete time: individual vs. aggregate data models
• The collective reserving model
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)

Cited in

(4)

• Unlocking reserve assumptions using retrospective analysis
• Bootstrapping individual claim histories
• A collective reserving model with claim openness
• Collective reserving using individual claims data

Describes a project that uses

Uses Software

• DCL

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