Calendar year effect modeling for claims reserving in HGLM

DOI10.1017/ASB.2019.22MaRDI QIDQ4972124zbMATH OpenOpenAlexFDO

Authors Patrizia Gigante, Liviana Picech, Luciano Sigalotti

Publication date 22 November 2019

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2019.22

zbMATH Keywords

simulationPoisson-gamma modeldependence modelinghierarchical generalized linear modelsclaims reservingmean square error of predictioncalendar year effects

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 946661 (Why is no real title available?)
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• A course in credibility theory and its applications
• Accounting year effects modeling in the stochastic chain ladder reserving method
• An extended quasi-likelihood function
• Assessing inflation risk in non-life insurance
• Bootstrapping the separation method in claims reserving
• Claims reserving in the hierarchical generalized linear model framework
• Credibility claims reserving with stochastic diagonal effects
• Diagonal effects in claims reserving
• 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
• Modeling accounting year dependence in runoff triangles
• Parameter reduction in log-normal chain-ladder models
• Prediction error for credible claims reserves: an \(h\)-likelihood approach
• Stochastic claims reserving methods in insurance

Cited in

(5)

• A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
• Calendar effect and in-sample forecasting
• Claims reserving in the hierarchical generalized linear model framework
• Accounting year effects modeling in the stochastic chain ladder reserving method
• An incremental loss ratio method using prior information on calendar year effects

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