Prediction error for credible claims reserves: an h-likelihood approach
DOI10.1007/S13385-013-0072-XzbMATH Open1304.91104OpenAlexW2055048219MaRDI QIDQ487577FDOQ487577
Liviana Picech, Luciano Sigalotti, Patrizia Gigante
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
\(h\)-likelihoodBornhuetter-Fergusonchain-ladderclaims reservesconditional mean square error of predictioncredible claims reserveshierarchical generalized linear models
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)
Cites Work
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- Hierarchical generalised linear models: A synthesis of generalised linear models, random-effect models and structured dispersions
- Stochastic claims reserving methods in insurance
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- Credible Claims Reserves: the Benktander Method
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- Credible Loss Ratio Claims Reserves: the Benktander, Neuhaus and Mack Methods Revisited
- The Prediction Error of Bornhuetter/Ferguson
- Exact Credibility and Tweedie Models
- Another pragmatic loss reserving method or Bornhuetter-Ferguson revisited
- “A Bayesian Log-Normal Model for Multivariate Loss Reserving”, Peng Shi, Sanjib Basu, and Glenn G. Meyers, March 2012
- A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
Cited In (6)
- Title not available (Why is that?)
- 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
- CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM
- Bootstrap Mean Squared Error of Prediction in Loss Reserving
- Parameter reduction in log-normal chain-ladder models
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