A comparison of models for the chain--ladder method

DOI10.1016/S0167-6687(02)00160-9zbMath1031.62090OpenAlexW2031887739MaRDI QIDQ1413364

Klaus D. Schmidt, Klaus Th. Hess

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00160-9

zbMATH Keywords

Stochastic modelsChain-ladder methodClaims reserving

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Loss prediction based on run-off triangles ⋮ Maximum-likelihood and marginal-sum estimation in some particular collective models ⋮ Semiparametric model for prediction of individual claim loss reserving ⋮ Marginal-sum and maximum-likelihood estimation in a multiplicative tariff ⋮ Bayesian outbreak detection in the presence of reporting delays ⋮ Claims Reserving When There Are Negative Values in the Runoff Triangle

Cites Work

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• Non-optimal prediction by the chain ladder method
• A note on the overdispersed Poisson family.
• Which stochastic model is underlying the chain ladder method?
• An investigation into stochastic claims reserving models and the chain-ladder technique.
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• Chain ladder, marginal sum and maximum likelihood estimation
• Chain Ladder Prediction and Asset Liability Management
• Grossing-up, chain-ladder and marginal-sum estimation

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