Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model

Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model

In this paper, we consider a loss reserving model for a general insurance portfolio consisting of a number of correlated run-off triangles that can be embedded within the quantile regression model for longitudinal data. The model proposes a combination of the between- and within-subportfolios (run-o...

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Bibliographic Details
Main Authors: Ioannis Badounas, Georgios Pitselis
Format: Article
Language:English
Published: MDPI AG 2020-02-01
Series:Risks
Subjects:
quantile regression
loss reserving
robust estimators
Online Access:https://www.mdpi.com/2227-9091/8/1/14

Internet

https://www.mdpi.com/2227-9091/8/1/14

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