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ArticleStochastic loss reserving with dependence: A flexible multivariate Tweedie approach

Benjamin Avanzi2016

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Articlegreen2016

Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach

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

27 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Statistical Distribution Estimation and Applications

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References

2003Monte Carlo Methods in Financial Engineering 2002Stochastic Claims Reserving in General Insurance 2008Stochastic claims reserving methods in insurance 1998A Stochastic Model Underlying the Chain-Ladder Technique 2000Loss Reserving: An Actuarial Perspective 2006Predictive Distributions of Outstanding Liabilities in General Insurance 2009Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models 2011Dependent Loss Reserving using Copulas

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2012A Bayesian Log-Normal Model for Multivariate Loss Reservingarticle · 6 shared references 2012Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Frameworkarticle · 5 shared references 2018On the Lifetime and One-Year Views of Reserve Risk, with Application to IFRS 17 and Solvency II Risk Marginsarticle · 5 shared references 2015MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULASarticle · 5 shared references 2011Dependent Loss Reserving using Copulasarticle · 4 shared references 2010Prediction of RBNS and IBNR Claims using Claim Amounts and Claim Countsarticle · 4 shared references

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Year2016

Typearticle

Published2016-09-05

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations27

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2016.08.006

openalex_workW3124874581

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