Modified Munich Chain-Ladder Method
نویسندگان
چکیده
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.
منابع مشابه
Which Stochastic Model is Underlying the Chain Ladder Method?
The usual chain ladder metlwd is a deterministic claims reserving method. In the last years. o stochastic loglineor approximation to the chain ladder method hav been u~rl by several authors especially in order to quantify the variability of the estimated claims reserves. Although the reserves estimated by both merAo& are clenrly diflerent. rk logknenrapproxi-mation has been called " chain ladde...
متن کاملRapid print-readout technique for sequencing of RNA's containing modified nucleotides.
A rapid, simple, and highly sensitive method for sequence analysis of RNA was developed, which consists of the following steps: (i) controlled hydrolysis of the RNA by brief heating in water; (ii) (32P)-labeling of 5'-hydroxyl groups of the fragments produced in (i); (iii) resolution of labeled fragments by size on polyacrylamide gels giving the familiar "ladder"; (iv) contact transfer ("print"...
متن کاملRecent Development in Claims Reserving
This contribution deals with recent development in the field of mathematical loss reserving via Chain Ladder that is regarded as the most popular method for setting technical reserves in non life insurance. It could be formulated deterministically or via a stochastic model. However there are some drawbacks of using this method automatically that will be discussed. Its generalisation Munich Chai...
متن کاملThe Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.
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 کامل