A general multivariate chain ladder model

DOI10.1016/j.insmatheco.2010.03.002zbMath1231.91258OpenAlexW2080387508MaRDI QIDQ661202

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

Related Items (10)

Risk Management and Capital Allocation for Non-Life Insurance Companies ⋮ Robust inference for seemingly unrelated regression models ⋮ Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics ⋮ Some finite sample results for a system of seemingly unrelated regression equations ⋮ Claims Reserving with a Stochastic Vector Projection ⋮ Univariate and multivariate claims reserving with generalized link ratios ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ A Bayesian Log-Normal Model for Multivariate Loss Reserving ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS ⋮ Rank-based methods for modeling dependence between loss triangles

Uses Software

• Systemfit
• ChainLadder

Cites Work

• Unnamed Item
• Prediction of outstanding payments in a Poisson cluster model
• EXACT FINITE-SAMPLE PROPERTIES OF A PRE-TEST ESTIMATOR IN RIDGE REGRESSION
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• Estimators for Seemingly Unrelated Regression Equations: Some Exact Finite Sample Results
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• The Unbiasedness of Zellner's Seemingly Unrelated Regression Equations Estimators
• Further Properties of Efficient Estimators for Seemingly Unrelated Regression Equations
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias

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