Search Results - subject:"chain ladder method"

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

In-sample hazard forecasting based on survival models with operational time

Bischofberger, Stephan M. - In: Risks 8 (2020) 1, pp. 1-17

We introduce a generalization of the one-dimensional accelerated failure time model allowing the covariate effect to be any positive function of the covariate. This function and the baseline hazard rate are estimated nonparametrically via an iterative algorithm. In an application in non-life...

Persistent link: https://www.econbiz.de/10013200539

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

Persistent link: https://www.econbiz.de/10012204339

Quantitative assessment of multi-year non-life insurance risk

Hahn, Lukas Josef - 2019

Persistent link: https://www.econbiz.de/10012120259

State space models and the KALMAN-filter in stochastic claims reserving: Forecasting, filtering and smoothing

Chukhrova, Nataliya; Johannssen, Arne - In: Risks 5 (2017) 2, pp. 1-44

This paper gives a detailed overview of the current state of research in relation to the use of state space models and the Kalman-filter in the field of stochastic claims reserving. Most of these state space representations are matrix-based, which complicates their applications. Therefore, to...

Persistent link: https://www.econbiz.de/10011996652

State space models and the KALMAN-filter in stochastic claims reserving : forecasting, filtering and smoothing

Chukhrova, Nataliya; Johannssen, Arne - In: Risks : open access journal 5 (2017) 2, pp. 1-44

Persistent link: https://www.econbiz.de/10011687311

Understanding reporting delay in general insurance

Verrall, Richard J.; Wüthrich, Mario V. - In: Risks 4 (2016) 3, pp. 1-36

individual claims data prediction is compared to the prediction based on aggregate data using the Poisson chain-ladder method. …

Persistent link: https://www.econbiz.de/10011709563

Understanding reporting delay in general insurance

Verrall, Richard J.; Wüthrich, Mario V. - In: Risks : open access journal 4 (2016) 3, pp. 1-36

individual claims data prediction is compared to the prediction based on aggregate data using the Poisson chain-ladder method. …

Persistent link: https://www.econbiz.de/10011507649

Modified Munich chain-ladder method

Merz, Michael; Wüthrich, Mario V. - In: Risks 3 (2015) 4, pp. 624-646

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 …

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

Modified Munich chain-ladder method

Merz, Michael; Wüthrich, Mario V. - In: Risks : open access journal 3 (2015) 4, pp. 624-646

Persistent link: https://www.econbiz.de/10011408600