CORRELATIONS BETWEEN INSURANCE LINES OF BUSINESS: AN ILLUSION OR A REAL PHENOMENON? SOME METHODOLOGICAL CONSIDERATIONS

DOI10.1017/asb.2015.31zbMath1390.62202OpenAlexW3122024892MaRDI QIDQ4563767

Bernard Wong, Benjamin Avanzi, Greg Taylor

Publication date: 4 June 2018

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11343/246520

zbMATH Keywords

correlationdependencerisk marginreal datareservingcapital marginactuarial models

Mathematics Subject Classification ID

Related Items (5)

Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ Risk aggregation in non-life insurance: standard models vs. internal models ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS ⋮ On the modelling of multivariate counts with Cox processes and dependent shot noise intensities ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Uses Software

• astsa

Cites Work

• AN APPROACH TO TIME SERIES SMOOTHING AND FORECASTING USING THE EM ALGORITHM
• Identification of the age-period-cohort model and the extended chain-ladder model
• Detecting change-points in multidimensional stochastic processes
• Analytic and bootstrap estimates of prediction errors in claims reserving
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• MAXIMUM LIKELIHOOD AND ESTIMATION EFFICIENCY OF THE CHAIN LADDER
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• Transformation of non positive semidefinite correlation matrices
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
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