Forecasting Runoff Triangles

DOI10.1080/10920277.2006.10596246zbMath1479.91317OpenAlexW2318226366MaRDI QIDQ5018715

Piet de Jong

Publication date: 22 December 2021

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2006.10596246

Mathematics Subject Classification ID

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

Related Items (15)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS ⋮ Univariate and multivariate claims reserving with generalized link ratios ⋮ Model mortality rates using property and casualty insurance reserving methods ⋮ An incremental loss ratio method using prior information on calendar year effects ⋮ Assessing inflation risk in non-life insurance ⋮ Holt-winters method for run-off triangles in claims reserving ⋮ Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis ⋮ Robust Bayesian analysis of loss reserving data using scale mixtures distributions ⋮ Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS ⋮ Claims reserving: A correlated Bayesian model ⋮ A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Cites Work

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• A class of autoregressive models for predicting the final claims amount
• Which stochastic model is underlying the chain ladder method?
• On the distribution of IBNR reserves
• Smoothing and Interpolation with the State-Space Model
• Modelling Claims Runoff Triangles with Two-dimensional Time Series
• Diagnosing Shocks in Time Series

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