Modified Munich chain-ladder method

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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Year of publication:	2015
Authors:	Merz, Michael ; Wüthrich, Mario V.
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 3.2015, 4, p. 624-646
Publisher:	Basel : MDPI
Subject:	Munich chain-ladder method \| claims reserving \| prediction uncertainty \| mean-square error of prediction \| multivariate Gaussian model \| paid and incurred claims

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks3040624 [DOI] 845339095 [GVK] hdl:10419/167872 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011709543