Kernel Poisson regression machine for stochastic claims reserving

DOI10.1016/J.JKSS.2010.01.004zbMath1296.62211OpenAlexW2010914188MaRDI QIDQ744581

Changha Hwang, Jooyong Shim

Publication date: 25 September 2014

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2010.01.004

zbMATH Keywords

Poisson regressionpenalized likelihoodkernel machinechain laddercanonical parameterclaims reservingcross-validation function

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12)

Cites Work

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• Smoothing noisy data with spline functions: Estimating the correct degree of smoothing by the method of generalized cross-validation
• Claims reserving and generalised additive models
• Which stochastic model is underlying the chain ladder method?
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Theoretical foundations of the potential function method in pattern recognition learning
• Some results on Tchebycheffian spline functions and stochastic processes

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