Bootstrapping the chain-ladder method for several correlated run-off portfolios

Link:
Autor/in:
Erscheinungsjahr:
2010
Medientyp:
Text
Schlagworte:
  • Claim
  • Insurance
  • Chain ladder
  • Models
  • Risks
  • Finance
  • Claim
  • Insurance
  • Chain ladder
  • Models
  • Risks
  • Finance
Beschreibung:
  • The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More precisely, we derive the predictive distribution of the claims reserves simultaneously for several correlated run-off portfolios in the framework of the Chain-ladder claims reserving method for several correlated run-off portfolios.
Lizenz:
  • info:eu-repo/semantics/restrictedAccess
Quellsystem:
Forschungsinformationssystem der UHH

Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/513c847a-1c3c-4cf6-9ecf-4cd9cfd980a5