Prediction Error of the Multivariate Chain Ladder Reserving Method
From MaRDI portal
Publication:5022534
DOI10.1080/10920277.2008.10597509zbMath1481.91180OpenAlexW2033258429MaRDI QIDQ5022534
Mario V. Wüthrich, Michael Merz
Publication date: 19 January 2022
Published in: North American Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10920277.2008.10597509
Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)
Related Items
Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model ⋮ Univariate and multivariate claims reserving with generalized link ratios ⋮ Detection and correction of outliers in the bivariate chain-ladder method ⋮ A general multivariate chain ladder model ⋮ APPLYING STATE SPACE MODELS TO STOCHASTIC CLAIMS RESERVING ⋮ Rank-based methods for modeling dependence between loss triangles
Cites Work
- Unnamed Item
- Unnamed Item
- Bounds on the estimation error in the chain ladder method
- The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
- The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
- The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
- Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
- A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error
- The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
