9 citations · 13 across the 5 of their papers we have counts for
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q-fin.RM2020★ 3 cited
On unbalanced data and common shock models in stochastic loss reserving
Benjamin Avanzi, Gregory Clive Taylor, Phuong Anh Vu +1
Introducing common shocks is a popular dependence modelling approach, with some recent applications in loss reserving. The main advantage of this approach is the ability to capture…
q-fin.RM2020★ 9 cited
A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving
Benjamin Avanzi, Gregory Clive Taylor, Phuong Anh Vu +1
In this paper, we develop a multivariate evolutionary generalised linear model (GLM) framework for claims reserving, which allows for dynamic features of claims activity in conjunc…