Generalized log-normal chain-ladder

DOI10.1080/03461238.2019.1696885zbMath1448.91263arXiv1806.05939OpenAlexW2995382036MaRDI QIDQ5123187

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Publication date: 28 September 2020

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

Full work available at URL: https://arxiv.org/abs/1806.05939

zbMATH Keywords

bootstraplog-normalchain-ladderinfinitely divisibilityover-dispersed Poisson

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (2)

Dispersion modelling of outstanding claims with double Poisson regression models ⋮ Asymptotic theory for Mack's model

Uses Software

• R
• ChainLadder
• apc

Cites Work

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• Identification of the age-period-cohort model and the extended chain-ladder model
• On the estimation of reserves from loglinear models
• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• UMVUE of the IBNR reserve in a lognormal linear regression model
• Analytic and bootstrap estimates of prediction errors in claims reserving
• The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor
• Over-Dispersed Age-Period-Cohort Models
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• IBNR-claims and the two-way model of ANOVA
• On the infinite divisibility of the lognormal distribution
• Asymptotic Statistics
• The geometric chain-ladder
• Properties of sufficiency and statistical tests

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