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Full Bayesian analysis of claims reserving uncertainty

Peters, Gareth; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 73 (2017), pp. 41-53

Persistent link: https://www.econbiz.de/10011702044

A unified approach to mortality modelling using state-space framework : characterisation, identification, estimation and forecasting

Fung, Man Chung; Peters, Gareth; Shevchenko, Pavel V. - In: Annals of actuarial science : publ. by the Institute of … 11 (2017) 2, pp. 343-389

Persistent link: https://www.econbiz.de/10011820669

Prediction error in the chain ladder method

Wüthrich, Mario V. - In: Insurance / Mathematics & economics 42 (2008) 1, pp. 378-388

Persistent link: https://www.econbiz.de/10003682541

A non-parametric test and predictive model for signed path dependence

Dias, Fabio S.; Peters, Gareth - In: Computational economics 56 (2020) 2, pp. 461-498

Persistent link: https://www.econbiz.de/10012272043

Bayesian prediction of disability insurance frequencies using economic indicators

Donnelly, Catherine; Wüthrich, Mario V. - In: Annals of actuarial science : publ. by the Institute of … 6 (2012) 2, pp. 381-400

Persistent link: https://www.econbiz.de/10009625584

Claims run-off uncertainty : the full picture

Merz, Michael; Wüthrich, Mario V. - 2015 - This version: July 3, 2015

The aim of this contribution is to revisit, clarify and complete the picture of uncertainty estimates in the chain-ladder (CL) claims reserving method. Therefore, we consider the conditional mean square error of prediction (MSEP) of the total prediction uncertainty (using Mack's formula) and the...

Persistent link: https://www.econbiz.de/10011293560

Modified Munich chain-ladder method

Merz, Michael; Wüthrich, Mario V. - In: Risks : open access journal 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...

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

Consistent yield curve prediction

Teichmann, Josef; Wüthrich, Mario V. - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 191-224

Persistent link: https://www.econbiz.de/10011576708

Time-series forecasting of mortality rates using deep learning

Perla, Francesca; Richman, Ronald; Scognamiglio, Salvatore - In: Scandinavian actuarial journal 2021 (2021) 7, pp. 572-598

Persistent link: https://www.econbiz.de/10012624635

Neural network embedding of the over-dispersed Poisson reserving model

Gabrielli, Andrea; Richman, Ronald; Wüthrich, Mario V. - In: Scandinavian actuarial journal 2020 (2020) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10012195016