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~person:"Johannssen, Arne"
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KALMAN-filter
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chain ladder method
2
outstanding loss liabilities
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prediction uncertainty
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state space models
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stochastic claims reserving
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ultimate loss
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Johannssen, Arne
Wüthrich, Mario V.
11
Nielsen, Bent
9
Kuang, D.
6
Nielsen, Jens Perch
5
Gabrielli, Andrea
4
Merz, Michael
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Bischofberger, Stephan M.
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Delong, Łukasz
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Harnau, Jonas
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Lindholm, Mathias
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Mammen, Enno
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Schmidt, Klaus D.
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Taylor, Greg
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Antonio, Katrien
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Badounas, Ioannis
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Boratyńska, Agata
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Chukhrova, Nataliya
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Coll-Serrano, Vicente
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Denuit, Michel
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Heberle, Jochen
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Hiabu, Munir
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Kohn, Robert
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Kuang, Di
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Käärik, Meelis
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Moriconi, Franco
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Nielsen, J. P.
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Peters, Gareth W.
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Pigeon, Mathieu
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Riegel, Ulrich
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Szatkowski, Marcin
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Thomas, Anne
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Verrall, Richard
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Verrall, Richard J.
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Viin, Rauno
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Wahl, Felix
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Álvarez-Jareño, José Antonio
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State space models and the KALMAN-filter in stochastic claims reserving: Forecasting, filtering and smoothing
Chukhrova, Nataliya
;
Johannssen, Arne
- In:
Risks
5
(
2017
)
2
,
pp. 1-44
present a scalar state space model for cumulative payments, which is an extension of the well-known
chain
ladder
(CL) method …
Persistent link: https://www.econbiz.de/10011996652
Saved in:
2
State space models and the KALMAN-filter in stochastic claims reserving : forecasting, filtering and smoothing
Chukhrova, Nataliya
;
Johannssen, Arne
- In:
Risks : open access journal
5
(
2017
)
2
,
pp. 1-44
present a scalar state space model for cumulative payments, which is an extension of the well-known
chain
ladder
(CL) method …
Persistent link: https://www.econbiz.de/10011687311
Saved in:
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