Ein autoregressives glaubwürdigkeitsmodell für IBNR-reserven;An autoregressive credibility IBNR model

DOI10.1007/BF02808262zbMath0837.62084MaRDI QIDQ4859993

Dennis Dannenburg

Publication date: 20 May 1996

Published in: Blätter der DGVFM (Search for Journal in Brave)

zbMATH Keywords

autoregressive modelcredibility theoryportfoliosrisksmean squared prediction errorscredit insuranceIBNR reserves

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Generalized least squares estimators for covariance parameters for credibility regression models with moving average errors ⋮ Robust lagfactors ⋮ Credibility models with dependence structure over risks and time horizon ⋮ More on Robust Lagfactors

Cites Work

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• Improved estimation of IBNR claims by credibility theory
• Some results on the estimation of the credibility factor in the classical Bühlmann model
• Estimation of IBNR claims by credibility theory
• A contribution to modelling of IBNR claims
• Empirical Bayes credibility

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