On the relationship between classical chain ladder and granular reserving

DOI10.1080/03461238.2016.1240709zbMath1402.91199OpenAlexW2464132421MaRDI QIDQ4577201

Munir Hiabu

Publication date: 17 July 2018

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/16953/1/dh.pdf

zbMATH Keywords

Solvency IIchain laddernon-life insurancedevelopment factorsgranular reserving

Mathematics Subject Classification ID

Related Items (5)

Smooth Backfitting of Proportional Hazards With Multiplicative Components ⋮ A comparison of in-sample forecasting methods ⋮ Continuous chain-ladder with paid data ⋮ Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays ⋮ Estimating IBNR claim counts using different levels of data aggregation

Uses Software

• DCL

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• Semiparametric model for prediction of individual claim loss reserving
• Applying copula models to individual claim loss reserving methods
• Smoothing counting process intensities by means of kernel functions
• Consistent nonparametric regression. Discussion
• Nonparametric inference for a family of counting processes
• Loss prediction based on run-off triangles
• Smoothing methods in statistics
• Double Chain Ladder
• Bootstrapping Individual Claim Histories
• Stochastic projection for large individual losses
• Testing the assumption of independence of truncation time and failure time
• Bounds on the estimation error in the chain ladder method
• Statistical inference in the Lexis diagram
• Nonparametric analysis of truncated survival data, with application to AIDS
• Robust Locally Weighted Regression and Smoothing Scatterplots
• A Functional Central Limit Theorem for Semimartingales
• IBNR-claims and the two-way model of ANOVA
• Reanalysis of Some Baboon Descent Data
• Marker dependent kernel hazard estimation from local linear estimation
• Micro-level stochastic loss reserving for general insurance
• A model study about the applicability of the Chain Ladder method
• Boundary and Bias Correction in Kernel Hazard Estimation
• Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
• In-sample forecasting with local linear survival densities
• INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK
• Testing Goodness of Fit of a Uniform Truncation Model
• Statistical models based on counting processes

This page was built for publication: On the relationship between classical chain ladder and granular reserving