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

DOI10.1016/J.INSMATHECO.2017.04.005MaRDI QIDQ2364008zbMATH OpenOpenAlexFDO

Authors Lukas 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

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• The multi-year non-life insurance risk in the additive loss reserving model
• 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
• A Bayesian log-normal model for multivariate loss reserving
• Multivariate loss prediction in the multivariate additive model
• The reserving for outstanding losses based on multivariate \(t\)-copula model

Cites work

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

Cited in

(2)

• 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 multi-year non-life insurance risk in the additive loss reserving model

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