Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model

DOI10.1016/j.insmatheco.2017.04.005zbMath1394.91217OpenAlexW2462804324MaRDI QIDQ2364008

Lukas Josef Hahn

Publication date: 17 July 2017

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.04.005

zbMATH Keywords

multi-year viewnon-life insurance riskstochastic claims reservingdependent lines of businessmultivariate additive loss reserving model

Mathematics Subject Classification ID

Cites Work

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• 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
• The one-year non-life insurance risk
• Multivariate loss prediction in the multivariate additive model
• The multi-year non-life insurance risk in the additive loss reserving model
• Shrinkage Estimators for Covariance Matrices
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

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