Update IABE presentation, add demo and graphics

IABE-presentation/UKMotor_long.csv

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+origin,dev,value
+2007,1,3511
+2008,1,4001
+2009,1,4355
+2010,1,4295
+2011,1,4150
+2012,1,5102
+2013,1,6283
+2007,2,3215
+2008,2,3702
+2009,2,3932
+2010,2,3455
+2011,2,3747
+2012,2,4548
+2007,3,2266
+2008,3,2278
+2009,3,1946
+2010,3,2023
+2011,3,2320
+2007,4,1712
+2008,4,1180
+2009,4,1522
+2010,4,1320
+2007,5,1059
+2008,5,956
+2009,5,1238
+2007,6,587
+2008,6,629
+2007,7,340

IABE-presentation/bibliography.bib

@@ -0,0 +1,351 @@
+@manual{R,
+  title        = {R: A Language and Environment for Statistical Computing},
+  author       = {{R Core Team}},
+  organization = {R Foundation for Statistical Computing},
+  address      = {Vienna, Austria},
+  year         = {2021},
+  url          = {https://www.R-project.org/}
+}
+
+ @article{barndorff-nielsen,
+  issn      = {13507265},
+  author    = {O. E. Barndorff-Nielsen and David R. Cox},
+  journal   = {Bernoulli},
+  number    = {4},
+  pages     = {319--340},
+  publisher = {International Statistical Institute (ISI) and Bernoulli Society for Mathematical Statistics and Probability},
+  title     = {Prediction and Asymptotics},
+  volume    = {2},
+  year      = {1996}
+}
+
+ @incollection{christofides,
+  title     = {Section D5. Regression models based on log-incremental payments},
+  author    = {Christofides, S.},
+  booktitle = {Claims Reserving Manual},
+  volume    = {2},
+  year      = {1997},
+  publisher = {Institute of Actuaries}
+}
+‌
+ @book{davison,
+  author    = {A. C. Davison and D. V. Hinkley},
+  year      = {1997},
+  title     = {Bootstrap methods and their application},
+  publisher = {Cambridge University Press}
+}
+‌
+‌
+@article{dickson,
+  issn      = {00224367, 15396975},
+  author    = {David C. M. Dickson and Leanna M. Tedesco and Ben Zehnwirth},
+  journal   = {The Journal of Risk and Insurance},
+  number    = {4},
+  pages     = {689--709},
+  publisher = {[American Risk and Insurance Association, Wiley]},
+  title     = {Predictive Aggregate Claims Distributions},
+  urldate   = {2023-04-18},
+  volume    = {65},
+  year      = {1998}
+}
+
+@book{dunn:glm-in-r,
+  title     = {Generalized Linear Models With Examples in R},
+  author    = {Dunn, P.K. and Smyth, G.K.},
+  isbn      = {9781441901187},
+  series    = {Springer Texts in Statistics},
+  url       = {https://books.google.be/books?id=tBh5DwAAQBAJ},
+  year      = {2018},
+  publisher = {Springer New York}
+}
+
+@article{dunn:rand-quant-res,
+  issn      = {10618600},
+  author    = {Peter K. Dunn and Gordon K. Smyth},
+  journal   = {Journal of Computational and Graphical Statistics},
+  number    = {3},
+  pages     = {236--244},
+  publisher = {{{Taylor \& Francis, Ltd.}, American Statistical Association, Institute of Mathematical Statistics, Interface Foundation of America}},
+  title     = {Randomized Quantile Residuals},
+  volume    = {5},
+  year      = {1996}
+}
+
+@article{efron:boot-methods,
+  title   = {Bootstrap Methods: Another Look at the Jackknife},
+  volume  = {7},
+  doi     = {https://doi.org/10.1214/aos/1176344552},
+  number  = {1},
+  journal = {The Annals of Statistics},
+  author  = {Efron, B.},
+  year    = {1979},
+  month   = {Jan},
+  pages   = {1–26}
+}
+
+@book{efron:intro,
+  title     = {An introduction to the bootstrap},
+  isbn      = {9780412042317},
+  publisher = {Boca Raton, Fla Chapman \& Hall/Crc},
+  author    = {Efron, Bradley and Tibshirani, Robert},
+  year      = {1998}
+}
+
+@article{england:add-anal-boot-est,
+  title    = {Addendum to “Analytic and bootstrap estimates of prediction errors in claims reserving”},
+  journal  = {Insurance: Mathematics and Economics},
+  volume   = {31},
+  number   = {3},
+  pages    = {461-466},
+  year     = {2002},
+  issn     = {0167-6687},
+  doi      = {https://doi.org/10.1016/S0167-6687(02)00161-0},
+  author   = {Peter England},
+  keywords = {Bootstrap, Prediction errors, Claims reserving}
+}
+
+@article{england:anal-boot-est,
+  title    = {Analytic and bootstrap estimates of prediction errors in claims reserving},
+  journal  = {Insurance: Mathematics and Economics},
+  volume   = {25},
+  number   = {3},
+  pages    = {281-293},
+  year     = {1999},
+  issn     = {0167-6687},
+  doi      = {https://doi.org/10.1016/S0167-6687(99)00016-5},
+  url      = {https://www.sciencedirect.com/science/article/pii/S0167668799000165},
+  author   = {Peter England and Richard Verrall},
+  keywords = {Claims reserving, Chain ladder technique, Generalised linear models, Bootstrapping, Prediction errors}
+}
+
+@article{england:dist,
+  author  = {P. D. England and R. J. Verrall},
+  journal = {Annals of Actuarial Science},
+  number  = {1},
+  title   = {Predictive Distributions of Outstanding Liabilities in General Insurance},
+  volume  = {1},
+  year    = {2006}
+}
+
+@article{gisler:msep,
+  title     = {The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach},
+  volume    = {36},
+  doi       = {10.1017/S0515036100014653},
+  number    = {2},
+  journal   = {ASTIN Bulletin: The Journal of the IAA},
+  publisher = {Cambridge University Press},
+  author    = {Gisler, Alois},
+  year      = {2006},
+  pages     = {554–565}
+}
+
+@book{hayashi,
+  address   = {Princeton, Nj ; Oxford},
+  title     = {Econometrics},
+  isbn      = {9780691010182},
+  publisher = {Princeton University Press},
+  author    = {Fumio Hayashi},
+  year      = {2000}
+}
+
+@article{lawless,
+  issn      = {00063444},
+  author    = {J. F. Lawless and Marc Fredette},
+  journal   = {Biometrika},
+  number    = {3},
+  pages     = {529--542},
+  publisher = {[Oxford University Press, Biometrika Trust]},
+  title     = {Frequentist Prediction Intervals and Predictive Distributions},
+  volume    = {92},
+  year      = {2005}
+}
+
+@book{lehmann,
+  address   = {New York},
+  title     = {Testing statistical hypotheses},
+  isbn      = {9781441931788},
+  publisher = {Springer},
+  author    = {Lehmann, E. L. and Romano, Joseph P.},
+  year      = {2010}
+}
+
+
+@article{lindholm:msep,
+  title     = {Estimation of conditional mean squared error of prediction for claims reserving},
+  volume    = {14},
+  doi       = {10.1017/S174849951900006X},
+  number    = {1},
+  journal   = {Annals of Actuarial Science},
+  publisher = {Cambridge University Press},
+  author    = {Lindholm, Mathias and Lindskog, Filip and Wahl, Felix},
+  year      = {2020},
+  pages     = {93–128}
+}
+
+
+ @article{mack:chain-ladder,
+  author  = {Thomas Mack},
+  journal = {Astin Bulletin},
+  number  = {2},
+  title   = {Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates},
+  volume  = {23},
+  year    = {1993}
+}
+‌
+@incollection{mack:chain-ladder-variability,
+  title     = {Section D6. Measuring the Variability of Chain Ladder Reserve Estimates},
+  author    = {Thomas Mack},
+  booktitle = {Claims Reserving Manual},
+  volume    = {2},
+  year      = {1997},
+  publisher = {Institute of Actuaries}
+}
+
+ @article{mack:msep,
+  title     = {The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment},
+  volume    = {36},
+  doi       = {10.1017/S051503610001463X},
+  number    = {2},
+  journal   = {ASTIN Bulletin: The Journal of the IAA},
+  publisher = {Cambridge University Press},
+  author    = {Mack, Thomas and Quarg, Gerhard and Braun, Christian},
+  year      = {2006},
+  pages     = {543–552}
+}
+‌
+ @article{moulton,
+  title   = {Bootstrapping generalized linear models},
+  journal = {Computational Statistics \& Data Analysis},
+  volume  = {11},
+  number  = {1},
+  pages   = {53-63},
+  year    = {1991},
+  issn    = {0167-9473},
+  doi     = {https://doi.org/10.1016/0167-9473(91)90052-4},
+  author  = {Lawrence H. Moulton and Scott L. Zeger}
+}
+‌
+@article{nelder,
+  issn      = {00359238},
+  author    = {J. A. Nelder and R. W. M. Wedderburn},
+  journal   = {Journal of the Royal Statistical Society. Series A (General)},
+  number    = {3},
+  pages     = {370--384},
+  publisher = {[Royal Statistical Society, Wiley]},
+  title     = {Generalized Linear Models},
+  volume    = {135},
+  year      = {1972}
+}
+
+@article{pinheiro,
+  issn      = {00224367, 15396975},
+  author    = {Paulo J. R. Pinheiro and João Manuel Andrade e Silva and Maria de Lourdes Centeno},
+  journal   = {The Journal of Risk and Insurance},
+  number    = {4},
+  pages     = {701--714},
+  publisher = {[American Risk and Insurance Association, Wiley]},
+  title     = {Bootstrap Methodology in Claim Reserving},
+  volume    = {70},
+  year      = {2003}
+}
+
+@article{renshaw,
+  title     = {A Stochastic Model Underlying the Chain-Ladder Technique},
+  volume    = {4},
+  doi       = {10.1017/S1357321700000222},
+  number    = {4},
+  journal   = {British Actuarial Journal},
+  publisher = {Cambridge University Press},
+  author    = {Renshaw, A.E. and Verrall, R.J.},
+  year      = {1998},
+  pages     = {903–923}
+}
+
+@inbook{schiegl,
+  author    = {Schiegl, Magda},
+  editor    = {Radtke, Michael
+               and Schmidt, Klaus D.
+               and Schnaus, Anja},
+  title     = {Simulation},
+  booktitle = {Handbook on Loss Reserving},
+  year      = {2016},
+  publisher = {Springer International Publishing},
+  address   = {Cham},
+  pages     = {265--274},
+  isbn      = {978-3-319-30056-6},
+  doi       = {10.1007/978-3-319-30056-6_35}
+}
+
+@book{seber,
+  place     = {Hoboken, N.J.},
+  title     = {Linear regression analysis},
+  isbn      = {9780471415404},
+  publisher = {Wiley-Interscience},
+  author    = {G A F Seber and Lee, A J},
+  year      = {2003}
+}
+
+@article{venter:msep,
+  title     = {Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method},
+  volume    = {36},
+  doi       = {10.1017/S0515036100014665},
+  number    = {2},
+  journal   = {ASTIN Bulletin: The Journal of the IAA},
+  publisher = {Cambridge University Press},
+  author    = {Venter, Gary G.},
+  year      = {2006},
+  pages     = {566–571}
+}
+
+@article{verdonck,
+  author  = {Peremans, Kris and Segaert, Pieter and Van Aelst, Stefan and Verdonck, Tim},
+  year    = {2016},
+  month   = {12},
+  pages   = {1-28},
+  title   = {Robust bootstrap procedures for the chain-ladder method},
+  journal = {Scandinavian Actuarial Journal},
+  doi     = {10.1080/03461238.2016.1263236}
+}
+
+
+@article{wuthrich:chain-ladder-msep,
+  author  = {Mario V. Wüthrich and Markus Buchwalder and Hans Bühlmann and Michael Merz},
+  journal = {Astin Bulletin},
+  number  = {2},
+  title   = {The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)},
+  volume  = {36},
+  year    = {2006}
+}
+
+@book{wuthrich:stochastic-reserving,
+  author    = {Mario V. Wüthrich and Michael Merz},
+  publisher = {John Wiley \& Sons},
+  title     = {Stochastic Claims Reserving Methods in Insurance},
+  year      = {2008}
+}
+
+@book{yee,
+  title     = {Vector Generalized Linear and Additive Models},
+  isbn      = {9781493928187},
+  publisher = {Springer},
+  author    = {Yee, Thomas W},
+  year      = {2015},
+  month     = {9}
+}
+
+@inproceedings{hartl,
+  title={Bootstrapping Generalized Linear Models for Development Triangles Using Deviance Residuals},
+  author={Thomas Hartl},
+  year={2010}
+}
+
+@article{eddelbuettel,
+  title = {{Rcpp}: Seamless {R} and {C++} Integration},
+  author = {Dirk Eddelbuettel and Romain Fran\c{c}ois},
+  journal = {Journal of Statistical Software},
+  year = {2011},
+  volume = {40},
+  number = {8},
+  pages = {1--18},
+  doi = {10.18637/jss.v040.i08},
+}