Modelling Claims Runoff Triangles with Two-dimensional Time Series

DOI10.1080/03461238.1989.10413863MaRDI QIDQ3497093zbMATH OpenOpenAlexFDO

Authors Richard Verrall

Publication date 1989

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.1989.10413863

zbMATH Keywords

Akaike's information criterionclaims reservesforecasting the claims runoffmaximum likelihood estimationmodel selectionnearest-neighbour modelstime series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• ON STATIONARY PROCESSES IN THE PLANE
• On the correlation structure of some two-dimensional stationary processes

Cited in

(7)

• scientific article; zbMATH DE number 5843399 (Why is no real title available?)
• scientific article; zbMATH DE number 2011596 (Why is no real title available?)
• INAR and IBNR
• Forecasting runoff triangles
• Minimum distance loss-reserving
• Forecasting aggregate claims using score‐driven time series models
• Holt-winters method for run-off triangles in claims reserving

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