Claim reserve prediction using the credibility theory for the Chain Ladder method
نویسندگان
چکیده
منابع مشابه
Credibility 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...
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Prediction Error of the Multivariate Chain Ladder Reserving Method
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15 صفحه اولMeasuring the Variability of Chain Ladder Reserve Estimates
The variability of chain ladder reserve estimates is quantified without assuming any specific claims amount distribution function. This is done by establishing a formula for the socalled standard error which is an estimate for the standard deviation of the outstanding claims reserve. The information necessary for this purpose is extracted only from the usual chain ladder formulae. With the stan...
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ژورنال
عنوان ژورنال: Journal of Physics: Conference Series
سال: 2020
ISSN: 1742-6588,1742-6596
DOI: 10.1088/1742-6596/1442/1/012038