Continuous chain-ladder with paid data
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چکیده
منابع مشابه
Ladder: Reformulating and Generalizing a Classical Insurance Problem. Expert Systems with City Research Online Continuous Chain Ladder: Reformulating and Generalizing a Classical Insurance Problem. Expert Continuous Chain Ladder
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The single most important number in the accounts of a non-life insurance company is likely to be the estimate of the outlying liabilities. Since nonlife insurance is a major part of our financial industry (amounting to up to 5% of BNP in western countries), it is perhaps surprising that mathematical statisticians and experts of operational research (the natural experts of the underlying problem...
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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.
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ژورنال
عنوان ژورنال: Scandinavian Actuarial Journal
سال: 2019
ISSN: 0346-1238,1651-2030
DOI: 10.1080/03461238.2019.1694973