Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
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Publication:2374097
DOI10.1016/J.INSMATHECO.2016.08.006zbMATH Open1371.91076OpenAlexW3124874581MaRDI QIDQ2374097FDOQ2374097
Authors: Benjamin Avanzi, Greg Taylor, Phuong Anh Vu, Bernard Wong 
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/11343/243004
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Cited In (11)
- Copula based Bayesian data analysis of loss reserving
- Weighted risk capital allocations in the presence of systematic risk
- Another pragmatic loss reserving method or Bornhuetter-Ferguson revisited
- A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
- Tweedie multivariate semi-parametric credibility with the exchangeable correlation
- Simulations of full multivariate Tweedie with flexible dependence structure
- Analysis of IBNR claims in renewal insurance models
- Tweedie double GLM loss triangles with dependence within and across business lines
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- Common shock models for claim arrays
- Modeling dependence between loss triangles with hierarchical Archimedean copulas
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