9 citations · 12 across the 3 of their papers we have counts for
3 papers
Auto-balanced common shock claim models
Greg Taylor, Phuong Anh Vu
The paper is concerned with common shock models of claim triangles. These are usually constructed as a linear combinations of shock components and idiosyncratic components. Previou…
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…
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…