Multivariate loss prediction in the multivariate additive model

DOI10.1016/J.INSMATHECO.2006.02.004MaRDI QIDQ849587zbMATH OpenOpenAlexFDO

Authors Klaus Thomas Hess, Mathias Zocher, Klaus D. Schmidt

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

Mathematics Subject Classification ID

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

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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

(15)

• A Bayesian log-normal model for multivariate loss reserving
• Copula based Bayesian data analysis of loss reserving
• Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach
• A maximum likelihood approach for uncertain volumes in the additive reserving model
• Univariate and multivariate claims reserving with generalized link ratios
• A generalized loss ratio method dealing with uncertain volume measures
• Loss prediction based on run-off triangles
• Loss prediction in a linear model under a linear constraint
• Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
• A multi-loss super regression learner (MSRL) with application to survival prediction using proteomics
• Risk Management and Capital Allocation for Non-Life Insurance Companies
• Consistent loss prediction for a portfolio and its subportfolios
• Bifurcation of attritional and large losses in an additive IBNR environment
• 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

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