Add to ORKGThis paper presents a bootstrap approach to estimate the prediction distributions of reserves produced by the Munich chain ladder (MCL) model. The MCL model was introduced by Quarg and Mack (2004) and takes into account both paid and incurred claims information. In order to produce bootstrap distributions, this paper addresses the application of bootstrapping methods to dependent data, with the consequence that correlations are considered. Numerical examples are provided to illustrate the algorithm and the prediction errors are compared for the new bootstrapping method applied to MCL and a more standard bootstrapping method applied to the chain-ladder technique
We consider the well-known stochastic reserve estimation methods on the basis of generalized linear ...
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model us...
Incurred but not reported (IBNR) is kind of claim in non-life insurance which already incurred but n...
This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method f...
This paper considers the bootstrapping approach for measuring reserve uncertainty when applying the ...
Insurers are faced with the challenge of estimating the future reserves needed to handle historic an...
In this article, we use the bootstrap technique to obtain prediction errors for different claim-rese...
To avoid insolvency, insurance companies must have enough reserves to fulfill their present and futu...
Double chain ladder, introduced by Martínez-Miranda et al. (2012), is a statistical model to predict...
Non-life insurers are often faced with the challenge of estimating the future reserves necessary to ...
In practice there is a long tradition of actuaries calculating reserve estimates according to determ...
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model us...
In Buchwalder et al. (2006) we revisited Mack's (1993) and Murphy's (1994) estimates for the mean sq...
This paper considers the model suggested by Schnieper (1991), which separates the true IBNR claims f...
This thesis deals with the application of stochastic claims reserving methods to given data with som...
We consider the well-known stochastic reserve estimation methods on the basis of generalized linear ...
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model us...
Incurred but not reported (IBNR) is kind of claim in non-life insurance which already incurred but n...
This is a report on an exploration of the effectiveness of a novel non-parametric bootstrap method f...
This paper considers the bootstrapping approach for measuring reserve uncertainty when applying the ...
Insurers are faced with the challenge of estimating the future reserves needed to handle historic an...
In this article, we use the bootstrap technique to obtain prediction errors for different claim-rese...
To avoid insolvency, insurance companies must have enough reserves to fulfill their present and futu...
Double chain ladder, introduced by Martínez-Miranda et al. (2012), is a statistical model to predict...
Non-life insurers are often faced with the challenge of estimating the future reserves necessary to ...
In practice there is a long tradition of actuaries calculating reserve estimates according to determ...
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model us...
In Buchwalder et al. (2006) we revisited Mack's (1993) and Murphy's (1994) estimates for the mean sq...
This paper considers the model suggested by Schnieper (1991), which separates the true IBNR claims f...
This thesis deals with the application of stochastic claims reserving methods to given data with som...
We consider the well-known stochastic reserve estimation methods on the basis of generalized linear ...
The intention of this paper is to estimate a Bayesian distribution-free chain ladder (DFCL) model us...
Incurred but not reported (IBNR) is kind of claim in non-life insurance which already incurred but n...