Random coefficient autoregressive loss reserving

DOI10.1007/BF02809406MaRDI QIDQ3141123zbMATH OpenFDO

Authors Erhard Kremer

Publication date 25 October 1994

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02809406

zbMATH Keywords

autoregressive modelloss reservingpredicting the loss developmentrandom coefficient

Mathematics Subject Classification ID

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

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Cites work

• A class of autoregressive models for predicting the final claims amount
• Estimating coefficient distributions in random coefficient regressions
• scientific article; zbMATH DE number 3936330 (Why is no real title available?)
• scientific article; zbMATH DE number 42097 (Why is no real title available?)
• scientific article; zbMATH DE number 599628 (Why is no real title available?)

Cited in

(9)

• Stochastic loss reserving with mixture density neural networks
• Autoregressive Modelle in der privaten Krankenversicherung
• Threshold lossreserving
• scientific article; zbMATH DE number 599628 (Why is no real title available?)
• Robust lagfactors
• Nonlinear models in claim reserving
• INAR and IBNR
• Minimum distance loss-reserving
• The random walk model revisited

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