Bifurcation of attritional and large losses in an additive IBNR environment

DOI10.1080/03461238.2014.991423zbMath1401.91187OpenAlexW1967477892MaRDI QIDQ4575368

Ulrich Riegel

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2014.991423

zbMATH Keywords

standard errormean squared error of predictionadditive methodIBNR methodattritional lossincremental loss ratio methodlarge loss

Mathematics Subject Classification ID

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

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Cites Work

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• Multivariate loss prediction in the multivariate additive model
• Consistent loss prediction for a portfolio and its subportfolios
• A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

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