Paid-incurred chain claims reserving method
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Publication:659269
DOI10.1016/j.insmatheco.2010.02.004zbMath1231.91217OpenAlexW2059688066MaRDI QIDQ659269
Mario V. Wüthrich, Michael Merz
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.02.004
claims reservingclaims incurredclaims paymentsincurred lossesoutstanding loss liabilitiesprediction uncertaintyultimate loss
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Related Items (15)
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Micro-level stochastic loss reserving for general insurance ⋮ ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION ⋮ A review of Bayesian asymptotics in general insurance applications ⋮ Credibility in Loss Reserving ⋮ Claims development result in the paid-incurred chain reserving method ⋮ Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework ⋮ Robust Bayesian analysis of loss reserving data using scale mixtures distributions ⋮ PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING ⋮ INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ A Bayesian Log-Normal Model for Multivariate Loss Reserving ⋮ Individual loss reserving using paid-incurred data ⋮ A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving
Cites Work
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- Using expected loss ratios in reserving
- Weak convergence and optimal scaling of random walk Metropolis algorithms
- A course in credibility theory and its applications
- Stochastic simulation: Algorithms and analysis
- Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
- Credibility for the Chain Ladder Reserving Method
- Probability with Martingales
- Actuarial Modeling with MCMC and BUGs
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