Add to ORKGIn Buchwalder et al. (2006) we revisited Mack's (1993) and Murphy's (1994) estimates for the mean square error of prediction (MSEP) of the chain ladder claims reserving method. This was done using a time series model for the chain ladder method. In this paper we extend the time series model to determine an estimate for the MSEP of a portfolio of N correlated run-off triangles. This estimate differs in the special case N = 2 from the estimate given by Braun (2004). We discuss the differences between the estimate
We consider the chain ladder reserving method in a Bayesian set up, which allows for combining the i...
A central issue in claims reserving is the modelling of appropriate dependence structures. Most clas...
To avoid insolvency, insurance companies must have enough reserves to fulfill their present and futu...
In Buchwalder et al. (2006) we revisited Mack's (1993) and Murphy's (1994) estimates for the mean sq...
We revisit the famous Mack formula [2], which gives an estimate for the mean square error of predict...
This paper presents a bootstrap approach to estimate the prediction distributions of reserves produc...
Double chain ladder, introduced by Martínez-Miranda et al. (2012), is a statistical model to predict...
The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabl...
It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the...
The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due...
In recent Solvency II considerations much effort has been put into the development of appropriate mo...
This paper introduces yet another stochastic model replicating chain-ladder estimates and furthermor...
We connect classical chain ladder to granular reserving. This is done by defining explicitly how the...
Insurers are faced with the challenge of estimating the future reserves needed to handle historic an...
The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due...
We consider the chain ladder reserving method in a Bayesian set up, which allows for combining the i...
A central issue in claims reserving is the modelling of appropriate dependence structures. Most clas...
To avoid insolvency, insurance companies must have enough reserves to fulfill their present and futu...
In Buchwalder et al. (2006) we revisited Mack's (1993) and Murphy's (1994) estimates for the mean sq...
We revisit the famous Mack formula [2], which gives an estimate for the mean square error of predict...
This paper presents a bootstrap approach to estimate the prediction distributions of reserves produc...
Double chain ladder, introduced by Martínez-Miranda et al. (2012), is a statistical model to predict...
The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabl...
It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the...
The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due...
In recent Solvency II considerations much effort has been put into the development of appropriate mo...
This paper introduces yet another stochastic model replicating chain-ladder estimates and furthermor...
We connect classical chain ladder to granular reserving. This is done by defining explicitly how the...
Insurers are faced with the challenge of estimating the future reserves needed to handle historic an...
The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due...
We consider the chain ladder reserving method in a Bayesian set up, which allows for combining the i...
A central issue in claims reserving is the modelling of appropriate dependence structures. Most clas...
To avoid insolvency, insurance companies must have enough reserves to fulfill their present and futu...