Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
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Publication:2374097
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Cites work
- scientific article; zbMATH DE number 410316 (Why is no real title available?)
- scientific article; zbMATH DE number 1253515 (Why is no real title available?)
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- scientific article; zbMATH DE number 2163706 (Why is no real title available?)
- A Bayesian log-normal model for multivariate loss reserving
- A copula regression for modeling multivariate loss triangles and quantifying reserving variability
- An EM algorithm for multivariate Poisson distribution and related models
- Applied Bayesian hierarchical methods.
- Bayesian Estimation of Outstanding Claim Reserves
- Bayesian chain ladder models
- Claims Reserving Using Tweedie's Compound Poisson Model
- Claims reserving when there are negative values in the runoff triangle
- Correlations between insurance lines of business: an illusion or a real phenomenon? Some methodological considerations
- Credibility claims reserving with stochastic diagonal effects
- Doing Bayesian data analysis. A tutorial introduction with R and BUGS
- Handbook of Markov Chain Monte Carlo
- Handbook of Monte Carlo Methods
- Higher moments of the claims development result in general insurance
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- Modeling accounting year dependence in runoff triangles
- Modeling dependence between loss triangles with hierarchical Archimedean copulas
- Modelling claims run-off with reversible jump Markov chain Monte Carlo methods
- Modelling negatives in stochastic reserving models
- Multivariate Tweedie distributions and some related capital-at-risk analyses
- Multivariate Tweedie lifetimes: the impact of dependence
- Multivariate loss prediction in the multivariate additive model
- On a multivariate gamma distribution
- Robust adaptive Metropolis algorithm with coerced acceptance rate
- Stochastic claims reserving methods in insurance
- Taylor approximations for model uncertainty within the Tweedie exponential dispersion family
Cited in
(11)- A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
- Copula based Bayesian data analysis of loss reserving
- Weighted risk capital allocations in the presence of systematic risk
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- Modeling dependence between loss triangles with hierarchical Archimedean copulas
- Analysis of IBNR claims in renewal insurance models
- Tweedie multivariate semi-parametric credibility with the exchangeable correlation
- Common shock models for claim arrays
- Tweedie double GLM loss triangles with dependence within and across business lines
- Simulations of full multivariate Tweedie with flexible dependence structure
- Another pragmatic loss reserving method or Bornhuetter-Ferguson revisited
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