A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving-Reference-Cited by-同舟云学术

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A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving

Published:2020-07 Issue: Volume:93 Page:50-71
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Avanzi Benjamin,Taylor Greg,Vu Phuong Anh,Wong Bernard

Funder

Australian Research Council

Discovery Projects

UNSW Business School, Australia

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference72 articles.

1. Modeling dependence between loss triangles with hierarchical Archimedean copulas;Abdallah;ASTIN Bull.,2015

2. Additivity of chain-ladder projections;Ajne;Astin Bull.,1994

3. Multivariate Tweedie lifetimes: The impact of dependence;Alai;Scand. Actuar. J.,2016

4. Taylor approximations for model uncertainty within the Tweedie exponential dispersion family;Alai;Astin Bull.,2009

5. A state space model for run-off-off triangles;Alpuim;Appl. Stoch. Models Bus. Ind.,2003

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Vine copulas and fuzzy inference to evaluate the solvency capital requirement of multivariate dependent risks;Applied Economics;2021-07-18

2. Kalman Filter Learning Algorithms and State Space Representations for Stochastic Claims Reserving;Risks;2021-06-06

3. Micro-level parametric duration-frequency-severity modeling for outstanding claim payments;Insurance: Mathematics and Economics;2021-05

4. A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES;ASTIN Bulletin;2020-11-04

5. On unbalanced data and common shock models in stochastic loss reserving;Annals of Actuarial Science;2020-07-27

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