The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
نویسندگان
چکیده
منابع مشابه
Prediction 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 کاملCredibility 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 کاملBounds on the Estimation Error in the Chain Ladder Method
Buchwalder et al. [2] have illustrated that there are different approaches for the derivation of an estimate for the estimation error in the chain ladder reserving method. In this paper we demonstrate that these approaches give estimates that are for typical parameters close to each other. This is done by proving upper and lower bounds.
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 کاملClosed-Form Distribution of Prediction Uncertainty in Chain Ladder Reserving by Bayesian Approach
________________________________________________________________________ Abstract Bayesian approach is applied to evaluate the prediction uncertainty in chain ladder reserving. First, the philosophy of the Bayesian approach to prediction uncertainty is introduced and compared with the Frequentist approach. All parameters in the model are then estimated using the Bayesian approach, with multiple...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2006
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.36.2.2017939