Beyond the Tweedie Reserving Model: The Collective Approach to Loss Development
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Publication:5379248
DOI10.1080/10920277.2017.1353428zbMath1414.91178OpenAlexW2603737258MaRDI QIDQ5379248
Julien Trufin, Michel M. Denuit
Publication date: 28 May 2019
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://dial.uclouvain.be/pr/boreal/fr/object/boreal%3A176389/datastream/PDF_02/view
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A hierarchical reserving model for reported non-life insurance claims ⋮ Collective loss reserving with two types of claims in motor third party liability insurance ⋮ Micro-level parametric duration-frequency-severity modeling for outstanding claim payments ⋮ Tweedie double GLM loss triangles with dependence within and across business lines ⋮ Matrix calculation for ultimate and 1-year risk in the Semi-Markov individual loss reserving model
Cites Work
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- Panjer recursion versus FFT for compound distributions
- Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
- Dispersion Estimates for Poisson and Tweedie Models
- Taylor Approximations for Model Uncertainty within the Tweedie Exponential Dispersion Family
- A model study about the applicability of the Chain Ladder method
- On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study
- Claims Reserving Using Tweedie's Compound Poisson Model
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