The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
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Publication:3632853
DOI10.2143/AST.36.2.2017939zbMath1162.91413OpenAlexW4237890102MaRDI QIDQ3632853
Publication date: 15 June 2009
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2143/ast.36.2.2017939
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)
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Estimation error and bootstrapping in the chain-ladder model of Mack ⋮ Parameter uncertainty and reserve risk under Solvency II ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Full Bayesian analysis of claims reserving uncertainty ⋮ Prediction error in the chain ladder method ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ Bounds on the estimation error in the chain ladder method ⋮ THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED ⋮ Prediction Error of the Multivariate Chain Ladder Reserving Method
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