Ein autoregressives glaubwürdigkeitsmodell für IBNR-reserven;An autoregressive credibility IBNR model

DOI10.1007/BF02808262MaRDI QIDQ4859993zbMATH OpenFDO

Authors Dennis Dannenburg

Publication date 20 May 1996

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02808262

zbMATH Keywords

autoregressive modelcredibility theorycredit insuranceIBNR reservesmean squared prediction errorsportfoliosrisks

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• scientific article; zbMATH DE number 1095135
• scientific article; zbMATH DE number 2069340
• Improved estimation of IBNR claims by credibility theory
• A contribution to modelling of IBNR claims
• Time-varying credibility for frequency risk models: estimation and tests for autoregressive specifications on the random effects.

Cites work

• A contribution to modelling of IBNR claims
• Empirical Bayes credibility
• Estimation of IBNR claims by credibility theory
• scientific article; zbMATH DE number 3551731 (Why is no real title available?)
• scientific article; zbMATH DE number 3314912 (Why is no real title available?)
• Improved estimation of IBNR claims by credibility theory
• Some results on the estimation of the credibility factor in the classical Bühlmann model

Cited in

(10)

• Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors
• Credibility models with dependence structure over risks and time horizon
• Box-Jenkins credibility
• Random coefficient autoregressive loss reserving
• Autoregressive Modelle in der privaten Krankenversicherung
• More on Robust Lagfactors
• Robust lagfactors
• scientific article; zbMATH DE number 2069340 (Why is no real title available?)
• Parametric multiple regression risk models: Some connections with IBNR
• Improved estimation of IBNR claims by credibility theory

This page was built for publication: Ein autoregressives glaubwürdigkeitsmodell für IBNR-reserven;An autoregressive credibility IBNR model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4859993)