Forecasting aggregate claims using score‐driven time series models

DOI10.1111/STAN.12139MaRDI QIDQ6067571zbMATH OpenOpenAlexWikidataFDO

Authors Cristiano Fernandes, Eduardo Fraga L. de Melo

Publication date 14 December 2023

Published in Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/stan.12139

zbMATH Keywords

aggregate losscollective risk modelfast Fourier transformGAS modelsrandom sum

Mathematics Subject Classification ID

Statistics (62-XX) Inference from stochastic processes (62Mxx) Applications of statistics (62Pxx)

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Cites work

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• An Algorithm for the Machine Calculation of Complex Fourier Series
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• Generalized autoregressive conditional heteroscedasticity
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• scientific article; zbMATH DE number 3734998 (Why is no real title available?)
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• Information-theoretic optimality of observation-driven time series models for continuous responses
• Loss models. From data to decisions
• Misspecification tests based on quantile residuals
• Numerical evaluation of the compound Poisson distribution: Recursion or Fast Fourier Transform?
• Numerische Berechnung von Gesamtschadenverteilungen
• On the computation of aggregate claims distributions: some new approximations
• Recursive evaluation of aggregate claims distributions.

Cited in

(1)

• PREDICTIVE CLAIM SCORES FOR DYNAMIC MULTI-PRODUCT RISK CLASSIFICATION IN INSURANCE

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