Calendar year effect modeling for claims reserving in HGLM
DOI10.1017/ASB.2019.22zbMATH Open1427.91230OpenAlexW2963064419MaRDI QIDQ4972124FDOQ4972124
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
Recommendations
- A generalized linear model with smoothing effects for claims reserving
- Accounting year effects modeling in the stochastic chain ladder reserving method
- Claims reserving in the hierarchical generalized linear model framework
- Modeling dependencies in claims reserving with GEE
- Modeling accounting year dependence in runoff triangles
simulationPoisson-gamma modeldependence modelinghierarchical generalized linear modelsclaims reservingmean square error of predictioncalendar year effects
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Hierarchical generalised linear models: A synthesis of generalised linear models, random-effect models and structured dispersions
- Stochastic claims reserving methods in insurance
- Title not available (Why is that?)
- Generalized Linear Models with Random Effects
- An extended quasi-likelihood function
- A course in credibility theory and its applications
- Claims reserving in the hierarchical generalized linear model framework
- Exact Credibility and Tweedie Models
- Prediction error for credible claims reserves: an \(h\)-likelihood approach
- Accounting year effects modeling in the stochastic chain ladder reserving method
- Modeling accounting year dependence in runoff triangles
- Diagonal effects in claims reserving
- Bootstrapping the separation method in claims reserving
- Assessing inflation risk in non-life insurance
- Parameter reduction in log-normal chain-ladder models
- Credibility claims reserving with stochastic diagonal effects
- A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
Cited In (4)
- Claims reserving in the hierarchical generalized linear model framework
- An incremental loss ratio method using prior information on calendar year effects
- A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
- Accounting year effects modeling in the stochastic chain ladder reserving method
This page was built for publication: Calendar year effect modeling for claims reserving in HGLM
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4972124)
