A class of autoregressive models for predicting the final claims amount

DOI10.1016/0167-6687(84)90049-0zbMath0566.62090OpenAlexW2082652868MaRDI QIDQ1059357

Erhard Kremer

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0167-6687(84)90049-0

zbMATH Keywords

autoregressive modelsforecasting the final claims amountloss-reserves

Mathematics Subject Classification ID

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

Related Items (11)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ Lineare gleichungssysteme und lineare modelle in der versicherungsmathematik ⋮ INAR and IBNR ⋮ A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion) ⋮ Nonlinear models in claim reserving ⋮ Stochastie Scadeninflation in IBNR;Stochastic claims inflation in IBNR ⋮ Minimum distance loss-reserving ⋮ On the variance parameter estimator in general linear models ⋮ Forecasting Runoff Triangles ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING ⋮ Random coefficient autoregressive loss reserving

Cites Work

• Estimation of IBNR claims by credibility theory
• Ruin theory in the linear model
• IBNR-claims and the two-way model of ANOVA
• Credibility theory for some evolutionary models
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