A state space model for rub-off triangles
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Publication:4827957
DOI10.1002/asmb.484zbMath1052.91056MaRDI QIDQ4827957
Teresa Alpuim, Isabel Martins Ribeiro
Publication date: 24 November 2004
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.484
parameter estimation; Kalman filter; mean square error; claim reserving; chain ladder model; forecast error
62M20: Inference from stochastic processes and prediction
62P05: Applications of statistics to actuarial sciences and financial mathematics
90B50: Management decision making, including multiple objectives
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