منابع مشابه
Modified Munich Chain-Ladder Method
The Munich chain-ladder method for claims reserving was introduced by Quarg and Mack on an axiomatic basis. We analyze these axioms, and we define a modified Munich chain-ladder method which is based on an explicit stochastic model. This stochastic model then allows us to consider claims prediction and prediction uncertainty for the Munich chain-ladder method in a consistent way.
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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...
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In a non-life insurance business an insurer often needs to build up a reserve to be able to meet his future obligations arising from claims that are known to exist, but for which the actual size is unknown at the time the reserves have to be set. The delay of the actual payment of the claims is, for example, due to long legal procedures or difficulties in determining the size of the claims. The...
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The intention of this paper is to analyse the mean square error of prediction (MSEP) under the distribution-free chain ladder (DFCL) claims reserving method. We compare the estimation obtained from the classical bootstrap method with the one obtained from a Bayesian bootstrap. To achieve this in the DFCL model we develop a novel approximate Bayesian computation (ABC) sampling algorithm to obtai...
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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 ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2489289