Credibility for the Chain Ladder Reserving Method
نویسندگان
چکیده
منابع مشابه
Credibility for the Chain Ladder Reserving Method
We consider the chain ladder reserving method in a Bayesian set up, which allows for combining individual claims development data with portfolio information as for instance development patterns from industry-wide data. We derive the Bayes estimators and the credibility estimators within this Bayesian framework. We show that the credibility estimators are exact Bayesian in the case of the expone...
متن کاملPrediction Error of the Multivariate Chain Ladder Reserving Method
In the present paper we consider the claims reserving problem in a multivariate context, that is, we study the multivariate Chain-ladder (CL) method for a portfolio of N correlated run-off triangles based on multivariate age-to-age factors. This method allows for a simultaneous study of individual run-off subportfolios and facilitates the derivation of an estimator for the mean square error of ...
متن کاملCombining Chain-Ladder and Additive Loss Reserving Method for Dependent Lines of Business
Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the estimation of adequate claims reserves for a portfolio consisting of several run-off subportfolios is relevant for every nonlife insurance company. In the present paper we provide a framework in which we unify the multivariate Chain-ladder (CL) model and the multivari...
متن کاملPrediction Error of the Chain Ladder Reserving Method applied to Correlated Run-Off Triangles
In Buchwalder et al. [3] we have revisited Mack’s [7] and Murphy’s [9] estimates for the mean square error of prediction (MSEP) of the chain ladder claims reserving method. This was done using a time series model for the chain ladder method. In this paper we extend the time series model to determine an estimate for the MSEP of a portfolio of N correlated run-off triangles. This estimate differs...
متن کاملAccounting Year Effects Modelling in the Stochastic Chain Ladder Reserving Method
In almost all stochastic claims reserving models one assumes that accident years are independent. In practice this assumption is violated most of the time. Typical examples are claims inflation and accounting year effects which influence all accident years simultaneously. We study a Bayesian chain ladder model that allows for accounting (calendar) year effects modelling. A case study on a gener...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2008
ISSN: 0515-0361,1783-1350
DOI: 10.1017/s0515036100015294