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Open AccessArticle

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

Department of Statistics and Insurance Science, University of Piraeus, 18534 Piraeus, Greece
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Risks 2020, 8(1), 14; https://doi.org/10.3390/risks8010014
Received: 31 July 2019 / Revised: 28 December 2019 / Accepted: 9 January 2020 / Published: 3 February 2020
(This article belongs to the Special Issue Loss Models: From Theory to Applications)
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-off triangles) estimating functions for regression parameter estimation, which take into account the correlation and variation of the run-off triangles. The proposed method is robust to the error correlation structure, improves the efficiency of parameter estimators, and is useful for the estimation of the reserve risk margin and value at risk (VaR) in actuarial and finance applications. View Full-Text
Keywords: quantile regression; loss reserving; robust estimators quantile regression; loss reserving; robust estimators
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Badounas, I.; Pitselis, G. Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model. Risks 2020, 8, 14.

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