Modified Munich chain-ladder method
- Link:
- Autor/in:
- Erscheinungsjahr:
- 2015
- Medientyp:
- Text
- Schlagworte:
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- Munich chain-ladder method
- claims reserving
- prediction uncertainty
- mean-square error of prediction
- multivariate Gaussian model
- paid and incurred claims
- Beschreibung:
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- 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:
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- 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
