Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis

DOI10.1080/02664763.2015.1079305OpenAlexW2268843395MaRDI QIDQ5138046

Leonardo Costa, Rodrigo Atherino, Adrian Pizzinga

Publication date: 3 December 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://figshare.com/articles/journal_contribution/Modeling_and_predicting_IBNR_reserve_extended_chain_ladder_and_heteroscedastic_regression_analysis/1569493

zbMATH Keywords

mean squared errorinsurance companychain ladderlinear regression modelsIBNR reserverunoff triangle

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ The Bühlmann-Straub estimation of claim means in random B-F reserve model ⋮ Extensions to the invariance property of maximum likelihood estimation for affine‐transformed state‐space models

Cites Work

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• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Which stochastic model is underlying the chain ladder method?
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• IBNR-claims and the two-way model of ANOVA
• Forecasting Runoff Triangles
• Generalized Linear Models for Insurance Data

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