CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM

DOI10.1017/asb.2019.22zbMath1427.91230OpenAlexW2963064419MaRDI QIDQ4972124

Liviana Picech, Luciano Sigalotti, Patrizia Gigante

Publication date: 22 November 2019

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

Full work available at URL: https://doi.org/10.1017/asb.2019.22

zbMATH Keywords

simulationPoisson-gamma modeldependence modelinghierarchical generalized linear modelsclaims reservingmean square error of predictioncalendar year effects

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (2)

An incremental loss ratio method using prior information on calendar year effects ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

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