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Year of publication
Subject
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claims reserving 8 Stochastic process 7 Stochastischer Prozess 7 Theorie 7 Theory 7 chain-ladder 7 Estimation theory 5 Forecasting model 5 Prognoseverfahren 5 Schätztheorie 5 Forecasting 4 bootstrap 4 chain-ladder method 4 prediction uncertainty 4 reserve risk 4 Bootstrap approach 3 Bootstrap-Verfahren 3 Claims reserving 3 individual claims data 3 Calendar effect 2 Canonical parameter 2 Chain-ladder 2 Chain-ladder model 2 Identification problem 2 Inflation 2 Interest rate 2 KALMAN-filter 2 Mack Chain Ladder 2 Munich chain-ladder method 2 Poisson chain-ladder method 2 Real interest rate 2 Realzins 2 Risiko 2 Risikomanagement 2 Risikomodell 2 Risk 2 Risk management 2 Risk model 2 Simulation 2 Zins 2
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Online availability
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Free 35 CC license 5
Type of publication
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Article 26 Book / Working Paper 9
Type of publication (narrower categories)
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Article in journal 14 Aufsatz in Zeitschrift 14 Article 9 Graue Literatur 2 Non-commercial literature 2 Collection of articles of several authors 1 Collection of articles written by one author 1 Hochschulschrift 1 Sammelwerk 1 Sammlung 1
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Language
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English 29 Undetermined 5 Spanish 1
Author
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Nielsen, Bent 7 Wüthrich, Mario V. 7 Delong, Łukasz 3 Harnau, Jonas 3 Kuang, D. 3 Bischofberger, Stephan M. 2 Chukhrova, Nataliya 2 Gabrielli, Andrea 2 Johannssen, Arne 2 Kuang, Di 2 Käärik, Meelis 2 Merz, Michael 2 Moriconi, Franco 2 Nielsen, Jens Perch 2 Szatkowski, Marcin 2 Tee, Liivika 2 Verrall, Richard J. 2 Viin, Rauno 2 ARMEANU, Dan 1 Armeanu, Daniel 1 BURCA, Ana-Maria 1 Bradu, Marcel 1 CIOACA, Sorin 1 Coll-Serrano, Vicente 1 DeFelice, Massimo 1 Engler, Nils 1 Gil, Ana Arribas 1 González, Pablo Alonso 1 Hahn, Lukas Josef 1 Kuang, D 1 Lindholm, Mathias 1 Lindskog, Filip 1 Lozano, Irene Albarrán 1 Nielsen, J P 1 Nielsen, J. P. 1 Nielsen, J.P. 1 Partachi, Ion 1 Siegenthaler, Filippo 1 Taylor, Greg 1 Verejan, Oleg 1
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Institution
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Economics Group, Nuffield College, University of Oxford 3 Department of Economics, Oxford University 2 Departamento de Estadistica, Universidad Carlos III de Madrid 1 Universität Ulm 1
Published in...
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Risks : open access journal 11 Risks 8 Economics Papers / Economics Group, Nuffield College, University of Oxford 3 Economics Series Working Papers / Department of Economics, Oxford University 2 Economics discussion papers 2 ASTIN bulletin : the journal of the International Actuarial Association 1 Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice 1 Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries 1 Revista de Métodos Cuantitativos para la Economía y la Empresa 1 Romanian Statistical Review Supplement 1 Scandinavian actuarial journal 1 Statistics and Econometrics Working Papers 1 Theoretical and Applied Economics 1
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Source
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ECONIS (ZBW) 17 EconStor 9 RePEc 9
Showing 1 - 10 of 35
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The Exponential Dispersion Family (EDF) chain ladder and data granularity
Taylor, Greg - In: Risks : open access journal 13 (2025) 4, pp. 1-25
) chain ladder model to forecast a loss reserve. As the duration of individual accident and development periods is decreased … granularity with respect to the variance of the loss reserve? A preliminary question is that of whether an EDF chain ladder that …
Persistent link: https://www.econbiz.de/10015408390
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Mack's estimator motivated by large exposure asymptotics in a compound poisson setting
Engler, Nils; Lindskog, Filip - In: ASTIN bulletin : the journal of the International … 54 (2024) 2, pp. 310-326
Persistent link: https://www.econbiz.de/10015055290
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A three-factor market model for incorporating explicit general inflation in non-life claims reserving
Moriconi, Franco - In: Risks : open access journal 11 (2023) 10, pp. 1-32
In a recent paper "Stochastic Chain-Ladder Reserving with Modeled General Inflation", the effects of modeled general … "Stochastic Chain-Ladder Reserving with Modeled General Inflation", we repeat the application to claims reserving presented in …
Persistent link: https://www.econbiz.de/10014391753
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Stochastic chain-ladder reserving with modeled general inflation
DeFelice, Massimo; Moriconi, Franco - In: Risks : open access journal 11 (2023) 12, pp. 1-31
studied in details referring to the stochastic chain-ladder provided by the Over-dispersed Poisson model. The application of …
Persistent link: https://www.econbiz.de/10014446788
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Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack
Siegenthaler, Filippo - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 118-144
Persistent link: https://www.econbiz.de/10014306892
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Collective reserving using individual claims data
Delong, Łukasz; Lindholm, Mathias; Wüthrich, Mario V. - In: Scandinavian actuarial journal 2022 (2022) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012872642
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One-year and ultimate reserve risk in Mack Chain Ladder model
Szatkowski, Marcin; Delong, Łukasz - In: Risks 9 (2021) 9, pp. 1-29
We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a …
Persistent link: https://www.econbiz.de/10013200816
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One-year and ultimate reserve risk in Mack Chain Ladder model
Szatkowski, Marcin; Delong, Łukasz - In: Risks : open access journal 9 (2021) 9, pp. 1-29
We investigate the relation between one-year reserve risk and ultimate reserve risk in Mack Chain Ladder model in a …
Persistent link: https://www.econbiz.de/10012612424
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In-sample hazard forecasting based on survival models with operational time
Bischofberger, Stephan M. - In: Risks 8 (2020) 1, pp. 1-17
is a nonparametric continuous-time alternative to chain-ladder development factors in reserving and is used to forecast … outstanding liabilities. Hence, we provide an extension of the chain-ladder framework for claim numbers without the assumption of …
Persistent link: https://www.econbiz.de/10013200539
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In-sample hazard forecasting based on survival models with operational time
Bischofberger, Stephan M. - In: Risks : open access journal 8 (2020) 1/3, pp. 1-17
is a nonparametric continuous-time alternative to chain-ladder development factors in reserving and is used to forecast … outstanding liabilities. Hence, we provide an extension of the chain-ladder framework for claim numbers without the assumption of …
Persistent link: https://www.econbiz.de/10012204339
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