A general multivariate chain ladder model

DOI10.1016/J.INSMATHECO.2010.03.002MaRDI QIDQ661202zbMATH OpenOpenAlexFDO

Authors Yanwei Zhang

Publication date 10 February 2012

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2010.03.002

zbMATH Keywords

multivariateseemingly unrelated regressionchain ladder

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• scientific article; zbMATH DE number 3350922 (Why is no real title available?)
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• EXACT FINITE-SAMPLE PROPERTIES OF A PRE-TEST ESTIMATOR IN RIDGE REGRESSION
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• Prediction of outstanding payments in a Poisson cluster model
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators

Cited in

(13)

• A Bayesian log-normal model for multivariate loss reserving
• Copula based Bayesian data analysis of loss reserving
• Rank-based methods for modeling dependence between loss triangles
• Univariate and multivariate claims reserving with generalized link ratios
• Applying state space models to stochastic claims reserving
• Multivariate loss prediction in the multivariate additive model
• Claims Reserving with a Stochastic Vector Projection
• Robust inference for seemingly unrelated regression models
• Some finite sample results for a system of seemingly unrelated regression equations
• Risk Management and Capital Allocation for Non-Life Insurance Companies
• Dynamic factor models for claim reserving
• Common shock models for claim arrays
• Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics

Describes a project that uses

Uses Software

• ChainLadder
• Systemfit

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