A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS

DOI10.1017/asb.2013.27zbMath1290.91098OpenAlexW2321085495MaRDI QIDQ5410253

Ulrich Riegel

Publication date: 16 April 2014

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

Full work available at URL: https://doi.org/10.1017/asb.2013.27

zbMATH Keywords

chain ladderstandard errormean squared error of predictionIBNR methodattritional losslarge loss

Mathematics Subject Classification ID

Related Items (7)

A GENERALIZED LOSS RATIO METHOD DEALING WITH UNCERTAIN VOLUME MEASURES ⋮ A QUANTITATIVE STUDY OF CHAIN LADDER BASED PRICING APPROACHES FOR LONG-TAIL QUOTA SHARES ⋮ Bifurcation of attritional and large losses in an additive IBNR environment ⋮ Separation of small and large claims on the basis of collective models ⋮ Unnamed Item ⋮ Collective loss reserving with two types of claims in motor third party liability insurance ⋮ The Bühlmann-Straub estimation of claim means in random B-F reserve model

Cites Work

• 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
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