Consistent loss prediction for a portfolio and its subportfolios

DOI10.1080/03461238.2012.749508zbMATH Open1401.91138OpenAlexW2049377186MaRDI QIDQ4576869FDOQ4576869

Authors: Sebastian Fuchs 

Publication date: 11 July 2018

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

Full work available at URL: https://doi.org/10.1080/03461238.2012.749508

Recommendations

• Multivariate loss prediction in the multivariate additive model
• Chain Ladder Prediction and Asset Liability Management
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• Grossing-up, chain-ladder and marginal-sum estimation
• Prediction Error of the Multivariate Chain Ladder Reserving Method

zbMATH Keywords

additivitydualityseparationchain-ladder methodaggregation problemadditive method

Mathematics Subject Classification ID

Cited In (3)

• Title not available (Why is that?)
• Separation of small and large claims on the basis of collective models
• Bifurcation of attritional and large losses in an additive IBNR environment

This page was built for publication: Consistent loss prediction for a portfolio and its subportfolios

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4576869)