Peremans, Kris; Van Aelst, Stefan; Verdonck, Tim - In: Risks : open access journal 6 (2018) 4, pp. 1-18
equal to the sum of the predictions of the subportfolios, a general multivariate chain ladder (GMCL) method has already been … on the reserve estimates. We introduce a simulation design to generate artificial multivariate run-off triangles based on …