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

calendar year effectsclaims reservingdependence modelinghierarchical generalized linear modelsmean square error of predictionPoisson-gamma modelsimulation

Mathematics Subject Classification ID

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

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Cites work

• A course in credibility theory and its applications
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• 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
• scientific article; zbMATH DE number 946661 (Why is no real title available?)
• 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

(6)

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

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