A state space model for run-off triangles

Applied Stochastic Models in Business and Industry

Volumn 19, Issue 2, 2003, Pages 105-120

  Alpuim, Teresa ^a   Ribeiro, Isabel ^b  

^a UNIVERSITY OF LISBON   (Portugal)

^b NONE

Author keywords

Claims reserving; Forecast error; Kalman filter; Run off triangles; State space models

Indexed keywords

ERRORS; FORECASTING; INSURANCE; KALMAN FILTERING; PARAMETER ESTIMATION; RANDOM PROCESSES; STATE SPACE METHODS;

CLAIMS RESERVING; FORECAST ERROR; RUN-OFF TRIANGLES; STATE SPACE MODEL;

MATHEMATICAL MODELS;

EID: 0037939840     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/asmb.484     Document Type: Article

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