IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v39y2006i2p185-191.html
   My bibliography  Save this article

Multivariate loss prediction in the multivariate additive model

Author

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

Abstract

No abstract is available for this item.

Suggested Citation

  • 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
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-6687(06)00046-1
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    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.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    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. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Kris Peremans & Stefan Van Aelst & Tim Verdonck, 2018. "A Robust General Multivariate Chain Ladder Method," Risks, MDPI, vol. 6(4), pages 1-18, September.
    2. Himchan Jeong & Dipak Dey, 2020. "Application of a Vine Copula for Multi-Line Insurance Reserving," Risks, MDPI, vol. 8(4), pages 1-23, October.
    3. Morne Joubert & Tanja Verster & Helgard Raubenheimer & Willem D. Schutte, 2021. "Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD," Risks, MDPI, vol. 9(6), pages 1-17, June.
    4. Yanwei Zhang & Vanja Dukic, 2013. "Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 891-919, December.
    5. Zhang, Yanwei, 2010. "A general multivariate chain ladder model," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 588-599, June.
    6. 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.
    7. Douw Gerbrand Breed & Niel van Jaarsveld & Carsten Gerken & Tanja Verster & Helgard Raubenheimer, 2021. "Development of an Impairment Point in Time Probability of Default Model for Revolving Retail Credit Products: South African Case Study," Risks, MDPI, vol. 9(11), pages 1-22, November.
    8. 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.
    9. 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.
    10. Ioannis Badounas & Georgios Pitselis, 2020. "Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model," Risks, MDPI, vol. 8(1), pages 1-26, February.
    11. 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.
    12. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:39:y:2006:i:2:p:185-191. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.