Univariate and multivariate claims reserving with generalized link ratios

DOI10.1016/J.INSMATHECO.2020.11.011MaRDI QIDQ2657017zbMATH OpenOpenAlexFDO

Authors Luis F. Portugal, Athanasios A. Pantelous, Richard Verrall

Publication date 17 March 2021

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2020.11.011

zbMATH Keywords

homoscedastic and heteroscedastic errorsmultivariate regressionprediction errorsreservingseemingly unrelated regression

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

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Cites work

• A copula regression for modeling multivariate loss triangles and quantifying reserving variability
• A general multivariate chain ladder model
• Accounting year effects modeling in the stochastic chain ladder reserving method
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Claims Reserving with a Stochastic Vector Projection
• Claims reserving: A correlated Bayesian model
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• Finite Sample Moments of a Preliminary Test Estimator in the Case of Possible Heteroscedasticity
• Forecasting runoff triangles
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• scientific article; zbMATH DE number 3967770 (Why is no real title available?)
• scientific article; zbMATH DE number 193897 (Why is no real title available?)
• Maximum likelihood and estimation efficiency of the chain ladder
• Multivariate loss prediction in the multivariate additive model
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• Stochastic claims reserving methods in insurance
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• Time series and panel data econometrics
• Which stochastic model is underlying the chain ladder method?

Cited in

(3)

• A general multivariate chain ladder model
• Claims Reserving with a Robust Generalized Additive Model
• A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

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