Forecasting aggregate claims using score‐driven time series models

DOI10.1111/STAN.12139OpenAlexW2799800469WikidataQ129956336 ScholiaQ129956336MaRDI QIDQ6067571

Eduardo Fraga L. de Melo, Cristiano Fernandes, Unnamed Author

Publication date: 14 December 2023

Published in: Statistica Neerlandica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/stan.12139

zbMATH Keywords

fast Fourier transformcollective risk modelrandom sumaggregate lossGAS models

Mathematics Subject Classification ID

Statistics (62-XX) Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx)

Cites Work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Misspecification tests based on quantile residuals
• Information-theoretic optimality of observation-driven time series models for continuous responses
• An Algorithm for the Machine Calculation of Complex Fourier Series
• A new look at the statistical model identification

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