Multivariate loss prediction in the multivariate additive model

DOI10.1016/J.INSMATHECO.2006.02.004zbMATH Open1098.91072OpenAlexW2002885848MaRDI QIDQ849587FDOQ849587

Authors: Klaus Thomas Hess, Mathias Zocher, Klaus D. Schmidt Error creating thumbnail:

Publication date: 31 October 2006

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.004

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Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Best Linear Unbiased Prediction in the Generalized Linear Regression 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
• Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
• Univariate and multivariate claims reserving with generalized link ratios
• Loss prediction based on run-off triangles
• Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
• Loss prediction in a linear model under a linear constraint
• COMMON SHOCK MODELS FOR CLAIM ARRAYS
• A multi-loss super regression learner (MSRL) with application to survival prediction using proteomics
• Risk Management and Capital Allocation for Non-Life Insurance Companies
• A Bayesian Log-Normal Model for Multivariate Loss Reserving
• A GENERALIZED LOSS RATIO METHOD DEALING WITH UNCERTAIN VOLUME MEASURES
• Bifurcation of attritional and large losses in an additive IBNR environment
• Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics

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