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Volumn 19, Issue 1, 1996, Pages 31-43

Claims reserving and generalised additive models

Author keywords

Chain ladder technique; Claims reserving; Generalised additive models; Generalised linear models; Non parametric smoothing

Indexed keywords


EID: 0030527292     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(96)00000-5     Document Type: Article
Times cited : (24)

References (20)
  • 2
    • 0011683835 scopus 로고
    • Claims reserving, state-space models and the Kalman filter
    • [2] De Jong, P. and B. Zehnwirth, (1983). Claims reserving, state-space models and the Kalman filter. JIA 110, 157.
    • (1983) JIA , vol.110 , pp. 157
    • De Jong, P.1    Zehnwirth, B.2
  • 4
    • 0001505871 scopus 로고
    • On the choice of bandwidth for kernel graduation
    • [4] Gavin, J.B., S. Haberman, and R.J. Verrall (1994). On the choice of bandwidth for kernel graduation. JIA 121, 119-134.
    • (1994) JIA , vol.121 , pp. 119-134
    • Gavin, J.B.1    Haberman, S.2    Verrall, R.J.3
  • 7
    • 0001257006 scopus 로고
    • Varying coefficient models
    • [7] Hastie, T. and R. Tibshirani (1993). Varying coefficient models (with discussion). JRSS, Series B 55, 757-796.
    • (1993) JRSS, Series B , vol.55 , pp. 757-796
    • Hastie, T.1    Tibshirani, R.2
  • 9
    • 84960127287 scopus 로고
    • Which stochastic model is underlying the chain ladder method?
    • Cambridge
    • [9] Mack T. (1993). Which stochastic model is underlying the chain ladder method? Proceedings XXIV ASTIN Colloquium, Cambridge.
    • (1993) Proceedings XXIV ASTIN Colloquium
    • Mack, T.1
  • 10
    • 0000456152 scopus 로고
    • An extended quasi-likelihood function
    • [10] Nelder, J. and D. Pregibon (1987). An extended quasi-likelihood function. Biometrika 74, 221-231.
    • (1987) Biometrika , vol.74 , pp. 221-231
    • Nelder, J.1    Pregibon, D.2
  • 11
    • 0011693842 scopus 로고
    • Chain ladder and interactive modelling (claims reserving and GLIM)
    • [11] Renshaw A.E. (1989). Chain ladder and interactive modelling (claims reserving and GLIM). JIA 116, 559-587.
    • (1989) JIA , vol.116 , pp. 559-587
    • Renshaw, A.E.1
  • 12
    • 73649108481 scopus 로고
    • On the second moment properties and the implementation of certain GLIM based stochastic claims reserving models
    • Department of Actuarial Science and Statistics, City University, London
    • [12] Renshaw A.E. (1994). On the second moment properties and the implementation of certain GLIM based stochastic claims reserving models. Actuarial Research Paper No. 65, Department of Actuarial Science and Statistics, City University, London.
    • (1994) Actuarial Research Paper No. 65
    • Renshaw, A.E.1
  • 16
    • 0011566846 scopus 로고
    • A state space representation of the chain ladder linear model
    • [16] Verrall, R.J. (1989). A state space representation of the chain ladder linear model. JIA 116, 589-610.
    • (1989) JIA , vol.116 , pp. 589-610
    • Verrall, R.J.1
  • 17
    • 84976084868 scopus 로고
    • Bayes and empirical Bayes estimation for the chain ladder model
    • [17] Verrall, R.J. (1990). Bayes and empirical Bayes estimation for the chain ladder model. ASTIN Bulletin 20, 217-243.
    • (1990) ASTIN Bulletin , vol.20 , pp. 217-243
    • Verrall, R.J.1
  • 18
    • 0002888466 scopus 로고
    • On the estimation of reserves from loglinear models
    • [18] Verrall R.J. (1991). On the estimation of reserves from loglinear models. Insurance: Mathematics and Economics, 10, 75-80.
    • (1991) Insurance: Mathematics and Economics , vol.10 , pp. 75-80
    • Verrall, R.J.1
  • 19
    • 0016335739 scopus 로고
    • Quasi-likelihood functions, generalized linear models and the Gauss-Newton method
    • [19] Wedderburn, R.W.M. (1974). Quasi-likelihood functions, generalized linear models and the Gauss-Newton method. Biometrika 61, 439-47.
    • (1974) Biometrika , vol.61 , pp. 439-447
    • Wedderburn, R.W.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.