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

DOI10.1007/S13385-023-00348-2MaRDI QIDQ6201526zbMATH OpenFDO

Authors Tomáš Cipra, Radek Hendrych

Publication date 21 February 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S13385-023-00348-2

zbMATH Keywords

claims reservingETS modelHolt-winters methodIBNRprediction errorreserving riskrun-off trianglestate space model

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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Cites work

• A robustification of the chain-ladder method
• A state space model for rub-off triangles
• Applying state space models to stochastic claims reserving
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• Financial and Insurance Formulas
• Forecasting runoff triangles
• Forecasting with exponential smoothing. The state space approach
• Holt-Winters Method with Missing Observations
• scientific article; zbMATH DE number 5843399 (Why is no real title available?)
• scientific article; zbMATH DE number 3649875 (Why is no real title available?)
• scientific article; zbMATH DE number 52648 (Why is no real title available?)
• IBNR-claims and the two-way model of ANOVA
• Loss development forecasting models: an econometrician's view
• Stochastic claims reserving methods in insurance
• Time series analysis and its applications. With R examples
• Time series analysis by state space methods.

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