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

DOI10.1016/J.INSMATHECO.2017.04.005zbMATH Open1394.91217OpenAlexW2462804324MaRDI QIDQ2364008FDOQ2364008

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

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

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)

Cites Work

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

Cited In (1)

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

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