Diagonal effects in claims reserving

DOI10.1080/03461230903301876zbMath1277.62253OpenAlexW1984676634MaRDI QIDQ2866276

Niels Rietdorf, Anders Hedegaard Jessen

Publication date: 13 December 2013

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

Full work available at URL: https://doi.org/10.1080/03461230903301876

zbMATH Keywords

bootstrapchain ladderclaims reservingdiagonal effectsBornhuetter-Ferguson methodBenktander method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Generalized linear models (logistic models) (62J12)

Related Items (5)

CREDIBILITY CLAIMS RESERVING WITH STOCHASTIC DIAGONAL EFFECTS ⋮ Double chain ladder, claims development inflation and zero-claims ⋮ Modeling accounting year dependence in runoff triangles ⋮ Assessing inflation risk in non-life insurance ⋮ CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM

Cites Work

• Identification of the age-period-cohort model and the extended chain-ladder model
• Non-life insurance mathematics. An introduction with stochastic processes.
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• An extended quasi-likelihood function
• Chain ladder, marginal sum and maximum likelihood estimation
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving

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