New loss reserve models with persistence effects to forecast trapezoidal losses in run-off triangles

DOI10.1017/ASB.2022.17zbMATH Open1506.91154OpenAlexW4296688652MaRDI QIDQ5045342FDOQ5045342

Authors: Farha Usman, Jennifer S. K. Chan 

Publication date: 4 November 2022

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2022.17

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zbMATH Keywords

Bayesian analysisloss reservingpersistencerun-off triangleconditional autoregressive range modelgeneralised beta type 2 distribution

Mathematics Subject Classification ID

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

Cites Work

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Cited In (4)

• Robust Bayesian Analysis of Loss Reserves Data Using the Generalized-t Distribution
• Loss prediction based on run-off triangles
• An incremental loss ratio method using prior information on calendar year effects
• Title not available (Why is that?)

Uses Software

• Stan
• NUTS

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