Lognormal mixed models for reported claims reserves

DOI10.1080/10920277.2006.10596238MaRDI QIDQ5018705zbMATH OpenOpenAlexFDO

Authors Katrien Antonio, J. Beirlant, Tom Hoedemakers, Robert Verlaak

Publication date 22 December 2021

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://lirias.kuleuven.be/handle/123456789/295601

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 1865743 (Why is no real title available?)
• A longitudinal data analysis interpretation of credibility models
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Bayesian Estimation of Outstanding Claim Reserves
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• Case Studies Using Panel Data Models
• IBNR-claims and the two-way model of ANOVA
• Linear mixed models for longitudinal data
• Linear mixed models in practice: a SAS-oriented approach
• Mixed Models
• Modelling zeros in stochastic reserving models.
• Random-Effects Models for Longitudinal Data
• UMVUE of the IBNR reserve in a lognormal linear regression model

Cited in

(18)

• Estimation of loss reserves based on a hierarchical Bayesian model
• Modeling dependencies in claims reserving with GEE
• scientific article; zbMATH DE number 5669774 (Why is no real title available?)
• On the independence between risk profiles in the compound collective risk actuarial model
• 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
• Robust Bayesian analysis of loss reserving data using scale mixtures distributions
• Modelling zeros in stochastic reserving models.
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• Modelling negatives in stochastic reserving models
• Actuarial statistics with generalized linear mixed models
• Bootstrap Mean Squared Error of Prediction in Loss Reserving
• An individual loss reserving model with independent reporting and settlement
• New Folded Models for the Log-Transformed Norwegian Fire Claim Data
• A linear prediction model for RBNS
• On the estimation of reserves from loglinear models
• Fitting mixed-effects models when data are left truncated
• A non-linear mixed model approach for excess of loss benchmark rating

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