Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result

DOI10.2143/AST.39.1.2038065zbMath1205.91078MaRDI QIDQ3067093

Hans Bühlmann, Franco Moriconi, Alois Gisler, Mario V. Wüthrich, Massimo de Felice

Publication date: 20 January 2011

Published in: ASTIN Bulletin (Search for Journal in Brave)

zbMATH Keywords

chain ladder methodsolvencyclaims reservingmean square error of predictionclaims development resultcredibility chain ladder methodliability at maturityloss experience prior accident yearsyear end expectation

Mathematics Subject Classification ID

Related Items (8)

CHAIN LADDER AND ERROR PROPAGATION ⋮ Claims development result in the paid-incurred chain reserving method ⋮ Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework ⋮ Paid-incurred chain claims reserving method ⋮ Full and 1‐year runoff risk in the credibility‐based additive loss reserving method ⋮ Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving ⋮ THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED ⋮ Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method

Cites Work

• A course in credibility theory and its applications
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
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