Bayesian analysis of loss reserving using dynamic models with generalized beta distribution

DOI10.1016/j.insmatheco.2013.07.001zbMath1304.91100OpenAlexW2015005658MaRDI QIDQ2513593

A. X. D. Dong, Jennifer So-Kuen Chan

Publication date: 28 January 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.07.001

zbMATH Keywords

Bayesian analysisthreshold modelstate space modelmixture distributiongeneralized beta distributionloss reserve

Mathematics Subject Classification ID

Related Items (10)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION ⋮ RISK MARGIN QUANTILE FUNCTION VIA PARAMETRIC AND NON-PARAMETRIC BAYESIAN APPROACHES ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Bayesian analysis of proportions via a hidden Markov model ⋮ Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models ⋮ Robust Bayesian analysis of loss reserving data using scale mixtures distributions ⋮ GENERALIZING THE LOG-MOYAL DISTRIBUTION AND REGRESSION MODELS FOR HEAVY-TAILED LOSS DATA ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

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