Claims Reserving with a Stochastic Vector Projection

DOI10.1080/10920277.2017.1353429zbMath1393.62046OpenAlexW3123218034MaRDI QIDQ4567958

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

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

zbMATH Keywords

insuranceheteroscedastic errorsstochastic vector projection

Mathematics Subject Classification ID

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

Related Items (2)

Univariate and multivariate claims reserving with generalized link ratios ⋮ Regression based reserving models and partial information

Uses Software

• DCL

Cites Work

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• A general multivariate chain ladder model
• On the estimation of reserves from loglinear models
• Which stochastic model is underlying the chain ladder method?
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• Double Chain Ladder
• The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor
• Regression Modeling with Actuarial and Financial Applications
• Matrix Algebra

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