Multivariate loss prediction in the multivariate additive model

DOI10.1016/j.insmatheco.2006.02.004zbMath1098.91072OpenAlexW2002885848MaRDI QIDQ849587

Mathias Zocher, Klaus Th. Hess, Klaus D. Schmidt

Publication date: 31 October 2006

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.02.004

Mathematics Subject Classification ID

Related Items (11)

Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model ⋮ Stochastic loss reserving with dependence: a flexible multivariate Tweedie approach ⋮ Loss prediction based on run-off triangles ⋮ Risk Management and Capital Allocation for Non-Life Insurance Companies ⋮ A GENERALIZED LOSS RATIO METHOD DEALING WITH UNCERTAIN VOLUME MEASURES ⋮ Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics ⋮ Univariate and multivariate claims reserving with generalized link ratios ⋮ Bifurcation of attritional and large losses in an additive IBNR environment ⋮ A Bayesian Log-Normal Model for Multivariate Loss Reserving ⋮ COMMON SHOCK MODELS FOR CLAIM ARRAYS ⋮ Loss prediction in a linear model under a linear constraint

Cites Work

• Best Linear Unbiased Prediction in the Generalized Linear Regression Model
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

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