INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK

DOI10.1017/asb.2013.20zbMath1284.91263OpenAlexW2125876631MaRDI QIDQ5398357

Katrien Antonio, Mathieu Pigeon, Michel M. Denuit

Publication date: 27 February 2014

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

Full work available at URL: https://doi.org/10.1017/asb.2013.20

zbMATH Keywords

multivariate skew normal distributionchain-ladderindividual claimsgeneral insurancestochastic loss reserving

Mathematics Subject Classification ID

Related Items (30)

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Uses Software

• DCL

Cites Work

• Unnamed Item
• Semiparametric model for prediction of individual claim loss reserving
• Paid-incurred chain claims reserving method
• A Poisson log-bilinear regression approach to the construction of projected lifetables.
• A class of multivariate skew-normal models
• The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING
• A Necessary and Sufficient Condition for the Square of a Random Variable to be Gamma

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