A non-convex regularization approach for stable estimation of loss development factors
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Publication:5014498
DOI10.1080/03461238.2021.1882550zbMath1479.91329arXiv2004.08032OpenAlexW3131433241MaRDI QIDQ5014498
Hyunwoong Chang, Himchan Jeong, Emiliano A. Valdez
Publication date: 8 December 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2004.08032
variable selectionrobust estimationloss developmentnon-convex penalizationinsurance reservinglog-adjusted absolute deviation (LAAD) penalty
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