Holt-winters method for run-off triangles in claims reserving

DOI10.1007/S13385-023-00348-2MaRDI QIDQ6201526

Tomáš Cipra, Radek Hendrych

Publication date: 21 February 2024

Published in: European Actuarial Journal (Search for Journal in Brave)

zbMATH Keywords

prediction errorstate space modelrun-off triangleclaims reservingIBNRreserving riskETS modelHolt-winters method

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• A Robustification of the Chain-Ladder Method
• APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty

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