A generalized linear model with smoothing effects for claims reserving

DOI10.1016/j.insmatheco.2011.01.012zbMath1218.91069MaRDI QIDQ2276256

Susanna Björkwall, Esbjörn Ohlsson, Richard J. Verrall, Ola G. Hössjer

Publication date: 1 August 2011

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/3842/1/IME_Smoothed_GLM_SB_OH_EO_RV_Revised_version.pdf

zbMATH Keywords

bootstrap; smoothing; model selection; generalized linear model; stochastic claims reserving

Mathematics Subject Classification ID

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

62J12: Generalized linear models (logistic models)

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NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES, APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING, Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving, Modeling dependencies in claims reserving with GEE

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