Modified Munich chain-ladder method

Link:
Autor/in:
Erscheinungsjahr:
2015
Medientyp:
Text
Schlagworte:
  • Munich chain-ladder method
  • claims reserving
  • prediction uncertainty
  • mean-square error of prediction
  • multivariate Gaussian model
  • paid and incurred claims
Beschreibung:
  • 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.
Lizenz:
  • info:eu-repo/semantics/openAccess
Quellsystem:
Forschungsinformationssystem der UHH

Interne Metadaten
Quelldatensatz
oai:www.edit.fis.uni-hamburg.de:publications/c0747154-3b8c-4fed-a690-ba45166da290