Claims Reserving with a Stochastic Vector Projection

DOI10.1080/10920277.2017.1353429zbMATH Open1393.62046OpenAlexW3123218034MaRDI QIDQ4567958FDOQ4567958

Authors: Luis F. Portugal, Athanasios A. Pantelous, Hirbod Assa 

Publication date: 20 June 2018

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2017.1353429

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zbMATH Keywords

insuranceheteroscedastic errorsstochastic vector projection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Double chain ladder
• Stochastic claims reserving methods in insurance
• Matrix Algebra
• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor
• Regression modeling with actuarial and financial applications.
• Title not available (Why is that?)
• Which stochastic model is underlying the chain ladder method?
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• On the estimation of reserves from loglinear models
• A general multivariate chain ladder model
• Title not available (Why is that?)

Cited In (7)

• Regression based reserving models and partial information
• Univariate and multivariate claims reserving with generalized link ratios
• Stochastie Scadeninflation in IBNR;Stochastic claims inflation in IBNR
• A loss reserving method for incomplete claim data
• Simulation based comparison of stochastic claims reserving models in general insurance
• Stochastic incremental approach for modelling the claims reserves
• Title not available (Why is that?)

Uses Software

• DCL

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