Prediction error for credible claims reserves: an h-likelihood approach

DOI10.1007/S13385-013-0072-XMaRDI QIDQ487577zbMATH OpenOpenAlexFDO

Authors Patrizia Gigante, Liviana Picech, Luciano Sigalotti

Publication date 22 January 2015

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-013-0072-x

zbMATH Keywords

\(h\)-likelihoodBornhuetter-Fergusonchain-ladderclaims reservesconditional mean square error of predictioncredible claims reserveshierarchical generalized linear models

Mathematics Subject Classification ID

Point estimation (62F10) Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• scientific article; zbMATH DE number 946661 (Why is no real title available?)
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
• A Bayesian log-normal model for multivariate loss reserving
• A course in credibility theory and its applications
• An extended quasi-likelihood function
• Another pragmatic loss reserving method or Bornhuetter-Ferguson revisited
• Claims reserving in the hierarchical generalized linear model framework
• Credible Claims Reserves: the Benktander Method
• Credible loss ratio claims reserves the Benktander, Neuhaus and Mack methods revisited
• Exact Credibility and Tweedie Models
• Generalized Linear Models with Random Effects
• Hierarchical generalised linear models: A synthesis of generalised linear models, random-effect models and structured dispersions
• Standard Errors of Prediction in Generalized Linear Mixed Models
• Stochastic claims reserving methods in insurance
• The Prediction Error of Bornhuetter/Ferguson
• “A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012

Cited in

(8)

• Calendar year effect modeling for claims reserving in HGLM
• scientific article; zbMATH DE number 6671298 (Why is no real title available?)
• Claims reserving in the hierarchical generalized linear model framework
• On bootstrap estimators of some prediction accuracy measures of loss reserves in a non-life insurance company
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• Parameter reduction in log-normal chain-ladder models
• Bootstrap Mean Squared Error of Prediction in Loss Reserving
• Prediction of Outstanding Claims: A Hierarchical Credibility Approach

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