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Multivariate loss prediction in the multivariate additive model

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

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  • Hess, Klaus Th. & Schmidt, Klaus D. & Zocher, Mathias, 2006. "Multivariate loss prediction in the multivariate additive model," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 185-191, October.
    • Handle: RePEc:eee:insuma:v:39:y:2006:i:2:p:185-191
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    References listed on IDEAS

    as
    1. Braun, Christian, 2004. "The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles," ASTIN Bulletin, Cambridge University Press, vol. 34(2), pages 399-423, November.
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    Cited by:

    1. Peng Shi, 2017. "A Multivariate Analysis of Intercompany Loss Triangles," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 717-737, June.
    2. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 265-310, June.
    3. Portugal, Luís & Pantelous, Athanasios A. & Verrall, Richard, 2021. "Univariate and multivariate claims reserving with Generalized Link Ratios," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 57-67.
    4. Avanzi, Benjamin & Taylor, Greg & Vu, Phuong Anh & Wong, Bernard, 2016. "Stochastic loss reserving with dependence: A flexible multivariate Tweedie approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 63-78.
    5. Yannick Appert-Raullin & Laurent Devineau & Hinarii Pichevin & Philippe Tann, 2013. "One-Year Volatility of Reserve Risk in a Multivariate Framework," Working Papers hal-00848492, HAL.
    6. Hahn, Lukas, 2017. "Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 71-81.
    7. Kathrin Kloberdanz & Klaus Schmidt, 2009. "Loss prediction in a linear model under a linear constraint," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(2), pages 205-220, June.

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