A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)

DOI10.1016/S0167-6687(99)00039-6zbMath0977.62109MaRDI QIDQ1974046

Gary Venter, Thomas Mack

Publication date: 24 January 2002

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

zbMATH Keywords

distribution-freemaximum likelihood estimatorchain ladderover-dispersed Poisson model

Mathematics Subject Classification ID

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

Related Items (12)

NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES ⋮ Bayesian analysis of quasi-life tables ⋮ CORRELATIONS BETWEEN INSURANCE LINES OF BUSINESS: AN ILLUSION OR A REAL PHENOMENON? SOME METHODOLOGICAL CONSIDERATIONS ⋮ The geometric chain-ladder ⋮ Individual claims reserving using activation patterns ⋮ A note on the overdispersed Poisson family. ⋮ A comparison of models for the chain--ladder method ⋮ Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model ⋮ Semiparametric model for prediction of individual claim loss reserving ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING ⋮ On bootstrap estimators of some prediction accuracy measures of loss reserves in a non-life insurance company ⋮ A Robustification of the Chain-Ladder Method

Cites Work

• Unnamed Item
• A class of autoregressive models for predicting the final claims amount
• Which stochastic model is underlying the chain ladder method?
• Chain ladder, marginal sum and maximum likelihood estimation

This page was built for publication: A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)