A copula based Bayesian approach for paid–incurred claims models for non-life insurance reserving
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DOI: 10.1016/j.insmatheco.2014.09.011
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- Gareth W. Peters & Alice X. D. Dong & Robert Kohn, 2012. "A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving," Papers 1210.3849, arXiv.org, revised Dec 2012.
References listed on IDEAS
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- Gogol, Daniel, 1993. "Using expected loss ratios in reserving," Insurance: Mathematics and Economics, Elsevier, vol. 12(3), pages 297-299, June.
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Citations
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Cited by:
- Himchan Jeong & Dipak Dey, 2020. "Application of a Vine Copula for Multi-Line Insurance Reserving," Risks, MDPI, vol. 8(4), pages 1-23, October.
- Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
- Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
- Jan Barlak & Matus Bakon & Martin Rovnak & Martina Mokrisova, 2022. "Heat Equation as a Tool for Outliers Mitigation in Run-Off Triangles for Valuing the Technical Provisions in Non-Life Insurance Business," Risks, MDPI, vol. 10(9), pages 1-17, August.
- Fersini, Paola & Melisi, Giuseppe, 2016. "Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 27-44.
- Yixing Zhao & Rogemar Mamon & Heng Xiong, 2021. "Claim reserving for insurance contracts in line with the International Financial Reporting Standards 17: a new paid-incurred chain approach to risk adjustments," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
- Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
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