Prediction error for credible claims reserves: an \(h\)-likelihood approach

DOI10.1007/S13385-013-0072-XzbMath1304.91104OpenAlexW2055048219MaRDI QIDQ487577

Liviana Picech, Luciano Sigalotti, Patrizia Gigante

Publication date: 22 January 2015

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

Full work available at URL: https://doi.org/10.1007/s13385-013-0072-x

zbMATH Keywords

\(h\)-likelihoodBornhuetter-Fergusonchain-ladderclaims reservesconditional mean square error of predictioncredible claims reserveshierarchical generalized linear models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10) Generalized linear models (logistic models) (62J12) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (5)

Parameter reduction in log-normal chain-ladder models ⋮ A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING ⋮ CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM ⋮ Bootstrap Mean Squared Error of Prediction in Loss Reserving ⋮ On bootstrap estimators of some prediction accuracy measures of loss reserves in a non-life insurance company

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