Forecasting aggregate claims using score-driven time series models-Reference-Cited by-同舟云学术

Forecasting aggregate claims using score-driven time series models

Author:

de Melo Mariana Arozo B.¹²,Fernandes Cristiano A. C.¹,de Melo Eduardo F. L.²³⁴

Affiliation:

1. Department of Electrical Engineering; Pontifical Catholic University of Rio de Janeiro (PUC-Rio); Rio de Janeiro Brazil

2. Superintendence of Private Insurance (SUSEP); Rio de Janeiro Brazil

3. Centre for Research on Insurance Economics (CPES); Brazilian School of Insurance (ESNS); Rio de Janeiro Brazil

4. Institute of Mathematics and Statistics; Rio de Janeiro State University (UERJ); Rio de Janeiro Brazil

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Link

Reference44 articles.

1. A new look at the statistical model identification;Akaike;IEEE Transactions on Automatic Control,1974

4. Information theoretic optimality of observation driven time series models;Blasques;Tinbergen Institute Discussion Paper 14-046/III,2014a

5. Maximum likelihood estimation for generalized autoregressive score models;Blasques;Tinbergen Institute Discussion Paper 14-029/III.,2014b

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