A special Tweedie sub-family with application to loss reserving prediction error

DOI10.1016/j.insmatheco.2021.08.002zbMath1475.91318OpenAlexW3194545438MaRDI QIDQ2665858

Greg Taylor

Publication date: 19 November 2021

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2021.08.002

zbMATH Keywords

prediction errormodel errorloss reservingTweedie familyCMVRconstant mean-variance ratiomodel distribution error

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multivariate Tweedie distributions and some related capital-at-risk analyses
• Reproducibility and natural exponential families with power variance functions
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Analytic and bootstrap estimates of prediction errors in claims reserving
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• MAXIMUM LIKELIHOOD AND ESTIMATION EFFICIENCY OF THE CHAIN LADDER
• Approximate Bayes factors and accounting for model uncertainty in generalised linear models

This page was built for publication: A special Tweedie sub-family with application to loss reserving prediction error