2003
DOI: 10.1002/asmb.484
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A state space model for rub‐off triangles

Abstract: SUMMARYIn this paper we suggest a distribution-free state space model to be used with the Kalman filter in run-off triangles. It works with original incremental amounts and relates the triangle with a column of observed values, which can be chosen in order to describe better the risk volume in each year. On the traditional application of run-off triangles (the paid claims run-off), this model relates the amount paid j years after the accident year with a column of observed values, that can be the claims paid o… Show more

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Cited by 10 publications
(31 citation statements)
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“…The model of Atherino et al (2010), which provides by far the lowest total claims reserves, also leads to the smallest MSEP for aggregated accident years, but not to the smallest variational coefficient (VCO = √ MSEP/reserve) for aggregated accident years. The conservative BF method produces the smallest VCO for aggregated accident years, closely followed by Atherino et al (2010), the scalar state space model and Alpuim and Ribeiro (2003). The model of Alpuim and Ribeiro (2003) and the scalar state space model provide a large VCO in the first accident year, resulting from the interaction of relatively low reserves and a larger MSEP for this year.…”
Section: Empirical Comparison Of Selected Modelsmentioning
confidence: 91%
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“…The model of Atherino et al (2010), which provides by far the lowest total claims reserves, also leads to the smallest MSEP for aggregated accident years, but not to the smallest variational coefficient (VCO = √ MSEP/reserve) for aggregated accident years. The conservative BF method produces the smallest VCO for aggregated accident years, closely followed by Atherino et al (2010), the scalar state space model and Alpuim and Ribeiro (2003). The model of Alpuim and Ribeiro (2003) and the scalar state space model provide a large VCO in the first accident year, resulting from the interaction of relatively low reserves and a larger MSEP for this year.…”
Section: Empirical Comparison Of Selected Modelsmentioning
confidence: 91%
“…Another example of the third category to model the claims data can be found in Alpuim and Ribeiro (2003). They assume that the incremental payments X i,j for the i-th accident year (i = 0, .…”
Section: Modeling Of Claims Development Datamentioning
confidence: 99%
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