A state space model for rub-off triangles

DOI10.1002/asmb.484zbMath1052.91056OpenAlexW2103291312MaRDI QIDQ4827957

Teresa Alpuim, Isabel Martins Ribeiro

Publication date: 24 November 2004

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.484

zbMATH Keywords

parameter estimationKalman filtermean square errorclaim reservingchain ladder modelforecast error

Mathematics Subject Classification ID

Related Items (4)

Holt-winters method for run-off triangles in claims reserving ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ Parameter estimation of state space models for univariate observations ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Cites Work

• IBNR-claims and the two-way model of ANOVA

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