On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study

A method for analysing the risk of taking a too low reserve level by the use of Chain Ladder method is developed. We give an answer to the question of how much safety loading in terms of the Chain Ladder standard error has to be added to the Chain Ladder reserve in order to reach a specified security level in loss reserving...

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Year of publication:	2002-05-01
Authors:	Schiegl, M.
Institutions:	International Actuarial Association / Actuarial Studies in Non-Life Insurance
Published in:	Casualty Actuarial Society - Publications ASTIN BULLETIN ; Vol. 32 - No. 1 - 2002, 107-128
Subject:	Risikotheorie

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Extent:	1024 bytes 22 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	Management of insurance ; Insurance Industry ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005847072