A COPULA REGRESSION FOR MODELING MULTIVARIATE LOSS TRIANGLES AND QUANTIFYING RESERVING VARIABILITY

DOI10.1017/asb.2013.23zbMath1284.62644OpenAlexW2139916690MaRDI QIDQ5410251

Peng Shi

Publication date: 16 April 2014

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

Full work available at URL: https://doi.org/10.1017/asb.2013.23

zbMATH Keywords

copulapredictive uncertaintycalendar year effectsdependent loss reserving

Mathematics Subject Classification ID

Related Items (8)

SELECTING BIVARIATE COPULA MODELS USING IMAGE RECOGNITION ⋮ Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ SPATIAL DEPENDENCE AND AGGREGATION IN WEATHER RISK HEDGING: A LÉVY SUBORDINATED HIERARCHICAL ARCHIMEDEAN COPULAS (LSHAC) APPROACH ⋮ MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics ⋮ Univariate and multivariate claims reserving with generalized link ratios ⋮ Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS

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