A general multivariate chain ladder model
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Publication:661202
DOI10.1016/J.INSMATHECO.2010.03.002zbMATH Open1231.91258OpenAlexW2080387508MaRDI QIDQ661202FDOQ661202
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
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Cites Work
- Title not available (Why is that?)
- 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
- The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
- 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
Cited In (13)
- 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
- Claims Reserving with a Stochastic Vector Projection
- Multivariate loss prediction in the multivariate additive model
- 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
- A Bayesian log-normal model for multivariate loss reserving
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