Applying state space models to stochastic claims reserving
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Cites work
- scientific article; zbMATH DE number 5843399 (Why is no real title available?)
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- A Bayesian log-normal model for multivariate loss reserving
- A general multivariate chain ladder model
- A generalized linear model with smoothing effects for claims reserving
- A robustification of the chain-ladder method
- A simple and efficient simulation smoother for state space time series analysis
- A state space model for rub-off triangles
- AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
- Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
- Detection and correction of outliers in the bivariate chain-ladder method
- Financial and Insurance Formulas
- Forecasting runoff triangles
- IBNR-claims and the two-way model of ANOVA
- Introduction to Time Series and Forecasting
- Kalman filter with outliers and missing observations
- Loss development forecasting models: an econometrician's view
- Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis
- On the estimation of reserves from loglinear models
- Prediction Error of the Multivariate Chain Ladder Reserving Method
- Robust loss reserving in a log-linear model
- Stochastic claims reserving methods in insurance
- The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
- Time series analysis and its applications. With R examples
- Time series analysis by state space methods.
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