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Search: subject:"prediction uncertainty"
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prediction uncertainty
4
Forecasting model
3
Prognoseverfahren
3
KALMAN-filter
2
Munich chain-ladder method
2
Theorie
2
Theory
2
chain ladder method
2
claims reserving
2
mean-square error of prediction
2
multivariate Gaussian model
2
outstanding loss liabilities
2
paid and incurred claims
2
state space models
2
stochastic claims reserving
2
ultimate loss
2
Claims reserving
1
Conditional mean square error of prediction
1
Distribution-free chain-ladder model
1
Estimation theory
1
Schätztheorie
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State space model
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Stochastic process
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Stochastischer Prozess
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Ultimate prediction uncertainty
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Zustandsraummodell
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English
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Chukhrova, Nataliya
2
Johannssen, Arne
2
Merz, Michael
2
Wüthrich, Mario V.
2
Siegenthaler, Filippo
1
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Risks
2
Risks : open access journal
2
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries
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ECONIS (ZBW)
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EconStor
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1
Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack
Siegenthaler, Filippo
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
1
,
pp. 118-144
Persistent link: https://www.econbiz.de/10014306892
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2
State space models and the KALMAN-filter in stochastic claims reserving: Forecasting, filtering and smoothing
Chukhrova, Nataliya
;
Johannssen, Arne
- In:
Risks
5
(
2017
)
2
,
pp. 1-44
This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which complicates their applications. Therefore, to...
Persistent link: https://www.econbiz.de/10011996652
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3
State space models and the KALMAN-filter in stochastic claims reserving : forecasting, filtering and smoothing
Chukhrova, Nataliya
;
Johannssen, Arne
- In:
Risks : open access journal
5
(
2017
)
2
,
pp. 1-44
This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which complicates their applications. Therefore, to...
Persistent link: https://www.econbiz.de/10011687311
Saved in:
4
Modified Munich chain-ladder method
Merz, Michael
;
Wüthrich, Mario V.
- In:
Risks
3
(
2015
)
4
,
pp. 624-646
stochastic model then allows us to consider claims prediction and
prediction
uncertainty
for the Munich chain-ladder method in a …
Persistent link: https://www.econbiz.de/10011709543
Saved in:
5
Modified Munich chain-ladder method
Merz, Michael
;
Wüthrich, Mario V.
- In:
Risks : open access journal
3
(
2015
)
4
,
pp. 624-646
stochastic model then allows us to consider claims prediction and
prediction
uncertainty
for the Munich chain-ladder method in a …
Persistent link: https://www.econbiz.de/10011408600
Saved in:
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