Accounting year effects modeling in the stochastic chain ladder reserving method
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Publication:3088975
DOI10.1080/10920277.2010.10597587zbMATH Open1219.91074OpenAlexW2020367822MaRDI QIDQ3088975FDOQ3088975
Authors: Mario V. Wüthrich 
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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Cites Work
- Bayesian Measures of Model Complexity and Fit
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- Title not available (Why is that?)
- Monte Carlo sampling methods using Markov chains and their applications
- A course in credibility theory and its applications
- Solvency
- Claims reserving: A correlated Bayesian model
- A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
- Model uncertainty in claims reserving within Tweedie's compound Poisson models
- Recursive credibility formula for chain ladder factors and the claims development result
- Credibility for the Chain Ladder Reserving Method
- Actuarial Modeling with MCMC and BUGs
- Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
- Bayesian Estimation of Outstanding Claim Reserves
- Prediction error in the chain ladder method
Cited In (10)
- Univariate and multivariate claims reserving with generalized link ratios
- An incremental loss ratio method using prior information on calendar year effects
- A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
- Assessing inflation risk in non-life insurance
- Sarmanov family of bivariate distributions for multivariate loss reserving analysis
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- Modeling accounting year dependence in runoff triangles
- A Bayesian log-normal model for multivariate loss reserving
- Modeling dependence between loss triangles with hierarchical Archimedean copulas
- Calendar year effect modeling for claims reserving in HGLM
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