Forecasting The Pricing Kernel of IBNR Claims Development In Property-Casualty Insurance
Download full text from publisher
References listed on IDEAS
- Robert Engle, 2004.
"Risk and Volatility: Econometric Models and Financial Practice,"
American Economic Review,
American Economic Association, vol. 94(3), pages 405-420, June.
- Engle III, Robert F., 2003. "Risk and Volatility: Econometric Models and Financial Practice," Nobel Prize in Economics documents 2003-4, Nobel Prize Committee.
- Graham, John R. & Harvey, Campbell R., 2001. "The theory and practice of corporate finance: evidence from the field," Journal of Financial Economics, Elsevier, vol. 60(2-3), pages 187-243, May.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
Journal of Econometrics,
Elsevier, vol. 31(3), pages 307-327, April.
- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
- Taylor, G. C. & Ashe, F. R., 1983. "Second moments of estimates of outstanding claims," Journal of Econometrics, Elsevier, vol. 23(1), pages 37-61, September.
- Taylor, G. C., 1977. "Separation of Inflation and other Effects from the Distribution of Non-Life Insurance Claim Delays," ASTIN Bulletin: The Journal of the International Actuarial Association, Cambridge University Press, vol. 9(1-2), pages 219-230, January.
More about this item
KeywordsIBNR claims ladder; claims reserve forecast; stochastic claim inflation; claims risk exposure; link ratio function; property-casualty insurance; insurance accounting;
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
- M49 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Other
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-06-18 (All new papers)
- NEP-FOR-2010-06-18 (Forecasting)
- NEP-IAS-2010-06-18 (Insurance Economics)
StatisticsAccess and download statistics
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:pra:mprapa:23235. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .