Claims reserving and generalised additive models

DOI10.1016/S0167-6687(96)00000-5zbMath0894.62114MaRDI QIDQ1381140

Richard J. Verrall

Publication date: 17 March 1998

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

zbMATH Keywords

S-PLUSgeneralized additive modelsnonparametric smoothingclaims reservingchain-ladder technique

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (11)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ Parameter reduction in log-normal chain-ladder models ⋮ Robust Bayesian analysis of loss reserving data using scale mixtures distributions ⋮ Robust lagfactors ⋮ Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty ⋮ STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTS ⋮ Modelling negatives in stochastic reserving models ⋮ A generalized linear model with smoothing effects for claims reserving ⋮ Kernel Poisson regression machine for stochastic claims reserving ⋮ More on Robust Lagfactors ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING

Uses Software

• R
• S-PLUS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Moving weighted average graduation using kernel estimation
• On the estimation of reserves from loglinear models
• Which stochastic model is underlying the chain ladder method?
• Dynamic Generalized Linear Models and Bayesian Forecasting
• An extended quasi-likelihood function

This page was built for publication: Claims reserving and generalised additive models