In the present paper we analyse how the estimators from Merz u. Wüthrich (2007) could be generalised to the case of N correlated run-off triangles. The simultaneous view on N correlated subportfolios is motivated by the fact, that in practice a run-off portfolio often has to be divided in...

In this paper we show how to quantify the uncertainty in the difference between the best estimate for the ultimate claim viewed at the beginning and at the end of one year. A second aspect in this paper is how bootstrapping techniques can be used to simulate these uncertainty for several...

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One of the main tasks in non-life insurance is the prediction of outstanding loss liabilities for run-off portfolios. Additionally, the quantification of the prediction uncertainty is also of great interest. In this paper we look at this actuarial problem in a bivariate framework, i.e. we assume...

The prediction of outstanding loss liabilities for non-life run-off portfolios and the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a bivariate context. More precisely, we derive...

We give a rigorous definition of best-estimate reserves for insurance liabilities in a general multiperiod financial market setting. In this general multiperiod financial market setting we describe payoff spaces and optimal dynamic hedging strategies. Based on this optimal dynamic hedging...