Holt-Winters method for run-off triangles in claims reserving

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F23%3A10470933" target="_blank" >RIV/00216208:11320/23:10470933 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=3iPtyH0iXv" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=3iPtyH0iXv</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s13385-023-00348-2" target="_blank" >10.1007/s13385-023-00348-2</a>

Result language
angličtina
Original language name
Holt-Winters method for run-off triangles in claims reserving
Original language description
Run-off triangles present usual instruments for claims reserve predictions. The paper suggests a relatively simple method of such predictions based on the Holt-Winters recursive formulas modified for missing data. The technique explicitly calculates the corresponding prediction error grounded in the state space modeling and evaluates the claims reserving risk in this way. Empirical data examples enable us to compare the suggested approach with results published by other authors.
Czech name
—
Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10103 - Statistics and probability

Project
<a href="/en/project/GX19-28231X" target="_blank" >GX19-28231X: DyMoDiF - Dynamic Models for the Digital Finance</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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