Applying state space models to stochastic claims reserving

DOI10.1017/ASB.2020.38zbMATH Open1471.91462OpenAlexW3108478789MaRDI QIDQ5157772FDOQ5157772

Authors: Tomáš Cipra, Radek Hendrych 

Publication date: 20 October 2021

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

Full work available at URL: https://doi.org/10.1017/asb.2020.38

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zbMATH Keywords

state space modelstochastic claims reservingmissing observationsdependent run-off trianglesIBNR projections

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

• A simple and efficient simulation smoother for state space time series analysis
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• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
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• A state space model for rub-off triangles
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• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• Kalman filter with outliers and missing observations
• Loss development forecasting models: an econometrician's view
• Financial and Insurance Formulas

Cited In (3)

• Claims Reserving with a Stochastic Vector Projection
• Holt-winters method for run-off triangles in claims reserving
• Dynamic factor models for claim reserving

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