NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES

DOI10.1017/asb.2022.17zbMath1506.91154OpenAlexW4296688652MaRDI QIDQ5045342

Jennifer So-Kuen Chan, Farha Usman

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

zbMATH Keywords

Bayesian analysispersistenceloss reservingrun-off triangleconditional autoregressive range modelgeneralised beta type 2 distribution

Mathematics Subject Classification ID

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

Uses Software

• Stan
• NUTS

Cites Work

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