Diagonal effects in claims reserving
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Publication:2866276
DOI10.1080/03461230903301876zbMath1277.62253OpenAlexW1984676634MaRDI QIDQ2866276
Niels Rietdorf, Anders Hedegaard Jessen
Publication date: 13 December 2013
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230903301876
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)
Related Items (5)
CREDIBILITY CLAIMS RESERVING WITH STOCHASTIC DIAGONAL EFFECTS ⋮ Double chain ladder, claims development inflation and zero-claims ⋮ Modeling accounting year dependence in runoff triangles ⋮ Assessing inflation risk in non-life insurance ⋮ CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM
Cites Work
- Identification of the age-period-cohort model and the extended chain-ladder model
- Non-life insurance mathematics. An introduction with stochastic processes.
- Analytic and bootstrap estimates of prediction errors in claims reserving
- Forecasting with the age-period-cohort model and the extended chain-ladder model
- An extended quasi-likelihood function
- Chain ladder, marginal sum and maximum likelihood estimation
- A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
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