MODELING IBNR CLAIMS WITH TAIL EFFECT: EXTENDED CHAIN LADDER, HETEROCEDASTIC LINEAR REGRESSION MODELS AND LINEAR STATE SPACE MODELS

MODELING IBNR CLAIMS WITH TAIL EFFECT: EXTENDED CHAIN LADDER, HETEROCEDASTIC LINEAR REGRESSION MODELS AND LINEAR STATE SPACE MODELS

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO === Este trabalho utiliza três metodologias para modelagem de sinistros IBNR apresentados no formato do triângulo de runoff com cauda, e verifica, por meio de quatro exercícios empíricos com dados reais, se existe uma abordagem estatisticamente mais...

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Bibliographic Details
Main Author:	LEONARDO HENRIQUE COSTA
Other Authors:	CRISTIANO AUGUSTO COELHO FERNANDES
Language:	Portuguese
Published:	PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO 2010
Online Access:	http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=15850@1 http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=15850@2

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