Bayesian analysis of loss reserving using dynamic models with generalized beta distribution
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Publication:2513593
Bayesian analysisgeneralized beta distributionloss reservemixture distributionstate space modelthreshold model
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Cites work
- A generalized beta copula with applications in modeling multivariate long-tailed data
- An investigation into stochastic claims reserving models and the chain-ladder technique.
- Bayesian Estimation of Outstanding Claim Reserves
- Bayesian Measures of Model Complexity and Fit
- Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
- Equation of state calculations by fast computing machines
- Forecasting the U.S. Unemployment Rate
- scientific article; zbMATH DE number 472921 (Why is no real title available?)
- scientific article; zbMATH DE number 849920 (Why is no real title available?)
- Monte Carlo sampling methods using Markov chains and their applications
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model
- Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
- Statistical decision theory and Bayesian analysis. 2nd ed
- The ARMA model in state space form
Cited in
(18)- Hierarchical Bayesian Gaussian process regression model for loss reserving using combinations of squared exponential kernels
- Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
- 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 Reserves Data Using the Generalized-t Distribution
- MODELLING INSURANCE LOSSES USING CONTAMINATED GENERALISED BETA TYPE-II DISTRIBUTION
- Risk margin quantile function via parametric and non-parametric Bayesian approaches
- New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles
- Robust Bayesian analysis of loss reserving data using scale mixtures distributions
- Generalizing the log-Moyal distribution and regression models for heavy-tailed loss data
- On the distribution of discounted loss reserves using generalized linear models
- Modelling insurance losses using a new beta power transformed family of distributions
- Copula based Bayesian data analysis of loss reserving
- A new class of composite GBII regression models with varying threshold for modeling heavy-tailed data
- Ensemble distributional forecasting for insurance loss reserving
- Poisson Mixture Deep Learning Neural Network Models for the Prediction of Drivers’ Claims with Excessive Zero Claims Using Telematics Data
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
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