Auto-balanced common shock claim models
نویسندگان
چکیده
Abstract The paper is concerned with common shock models of claim triangles. These are usually constructed as linear combinations components and idiosyncratic components. Previous literature has discussed the unbalanced property such models, whereby shocks may over- or under-contribute to some observations. also introduced corrections for this. present discusses “auto-balanced” in which all contribute observations that their proportionate contributions constant from one observation another. conditions auto-balance found be simple applicable a wide range model structures. Numerical illustrations given.
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ژورنال
عنوان ژورنال: Annals of Actuarial Science
سال: 2023
ISSN: ['1748-5002', '1748-4995']
DOI: https://doi.org/10.1017/s1748499523000064