Full and 1‐year runoff risk in the credibility‐based additive loss reserving method

DOI10.1002/asmb.915OpenAlexW2141773614MaRDI QIDQ5414509

Mario V. Wüthrich, Michael Merz

Publication date: 6 May 2014

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.915

zbMATH Keywords

Bayesian statisticscredibility theorystochastic claims reservingsolvencymean square error of predictionadditive loss reserving method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistics (62-XX)

Related Items (2)

CREDIBILITY CLAIMS RESERVING WITH STOCHASTIC DIAGONAL EFFECTS ⋮ The multi-year non-life insurance risk in the additive loss reserving model

Cites Work

• Unnamed Item
• Unnamed Item
• Estimation of the heterogeneity parameter in the Bühlmann-Straub credibility theory model
• Optimal parameter estimation under zero excess assumptions in the Bühlmann--Straub model
• On optimal parameter estimation in credibility
• Estimation of IBNR claims by credibility theory
• Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
• The Prediction Error of Bornhuetter/Ferguson
• Credibility for the Chain Ladder Reserving Method
• Empirical Bayes credibility
• Credible Claims Reserves: the Benktander Method
• Another pragmatic loss reserving method or Bornhuetter-Ferguson revisited
• Credibility Theory

This page was built for publication: Full and 1‐year runoff risk in the credibility‐based additive loss reserving method