Modeling accounting year dependence in runoff triangles

DOI10.1007/s13385-012-0055-3zbMath1256.91034OpenAlexW2072724133MaRDI QIDQ1936468

Mario V. Wüthrich, Robert Salzmann

Publication date: 5 February 2013

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/60149

zbMATH Keywords

claims reservingoutstanding loss liabilitiesclaims inflationaccounting year effects modelingBayes chain ladder modelgeneral insurance liabilitiesloss developmentmultivariate dependence modeling

Mathematics Subject Classification ID

Related Items (9)

Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics ⋮ Signs of dependence and heavy tails in non-life insurance data ⋮ Assessing inflation risk in non-life insurance ⋮ Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals ⋮ Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis ⋮ A COPULA REGRESSION FOR MODELING MULTIVARIATE LOSS TRIANGLES AND QUANTIFYING RESERVING VARIABILITY ⋮ CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM

Cites Work

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• Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method
• Risk margin for a non-life insurance run-off
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• A Bayesian Log-Normal Model for Multivariate Loss Reserving
• Generalized Linear Models with Random Effects

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