Abstract The Tweedie compound Poisson distribution is a subclass of the exponential
dispersion family with a power variance function, in which the value of the power index lies …

A one-stop guide for the theories, applications, and statistical methodologies essential to
operational risk Providing a complete overview of operational risk modeling and relevant …

The Tweedie GLM is a widely used method for predicting insurance premiums. However, the
structure of the logarithmic mean is restricted to a linear form in the Tweedie GLM, which can …

The correlation among multiple lines of business plays an important role in quantifying the
uncertainty of loss reserves for insurance portfolios. To accommodate correlation, most …

The literature of predicting the outstanding liability for insurance companies has undergone
rapid and profound changes in the past three decades, most recently focusing on Bayesian …

In order to quantify the operational risk capital charge under the current regulatory
framework for banking supervision, referred to as Basel II, many banks adopt the loss …

The chain ladder is the most ubiquitous of loss reserving models. For much of its life it
existed as an algorithm rather than a model. Here “algorithm” implies a mere calculation …

This paper discusses different classes of loss models in non-life insurance settings. It then
overviews the class of Tukey transform loss models that have not yet been widely …

Stochastic loss reserving with dependence has received increased attention in the last
decade. A number of parametric multivariate approaches have been developed to capture …

In this paper, we visualize the loss reserve runoff triangle as a spatially-organized data set.
We apply Gaussian Process (GP) regression with input warping and several covariance …