Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method
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Publication:3088975
DOI10.1080/10920277.2010.10597587zbMath1219.91074OpenAlexW2020367822MaRDI QIDQ3088975
Publication date: 23 August 2011
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2010.10597587
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Related Items (10)
MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ Univariate and multivariate claims reserving with generalized link ratios ⋮ Modeling accounting year dependence in runoff triangles ⋮ An incremental loss ratio method using prior information on calendar year effects ⋮ Assessing inflation risk in non-life insurance ⋮ Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ A Bayesian Log-Normal Model for Multivariate Loss Reserving ⋮ CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
Uses Software
Cites Work
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- Solvency
- Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
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- A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
- Actuarial Modeling with MCMC and BUGs
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