An investigation into stochastic claims reserving models and the chain-ladder technique.

DOI10.1016/S0167-6687(99)00038-4zbMath1072.62654MaRDI QIDQ1974045

Richard J. Verrall

Publication date: 25 July 2000

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

BAYESIAN CHAIN LADDER MODELS, EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS, Claims Reserving with a Stochastic Vector Projection, Robust bootstrap procedures for the chain-ladder method, Claims Reserving When There Are Negative Values in the Runoff Triangle, A Robustification of the Chain-Ladder Method, NEW LOSS RESERVE MODELS WITH PERSISTENCE EFFECTS TO FORECAST TRAPEZOIDAL LOSSES IN RUN-OFF TRIANGLES, Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis, THE IMPACTS OF INDIVIDUAL INFORMATION ON LOSS RESERVING, A Statistical Basis for Claims Experience Monitoring, Bootstrap Mean Squared Error of Prediction in Loss Reserving, Claim Reserving Using Distance-Based Generalized Linear Models, Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty, Bayesian Estimation of Outstanding Claim Reserves, A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving, Stochastic Payments per Claim Incurred, On bootstrap estimators of some prediction accuracy measures of loss reserves in a non-life insurance company, Robust loss reserving in a log-linear model, An individual loss reserving model with independent reporting and settlement, Bayesian analysis of quasi-life tables, A note on the overdispersed Poisson family., A comparison of models for the chain--ladder method, Regression based reserving models and partial information, The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool, Modelling negatives in stochastic reserving models, Bayesian analysis of loss reserving using dynamic models with generalized beta distribution, Incorporating expert opinion into a stochastic model for the chain-ladder technique, Univariate and multivariate claims reserving with generalized link ratios, A special Tweedie sub-family with application to loss reserving prediction error, Bayesian Assessment of the Distribution of Insurance Claim Counts Using Reversible Jump MCMC

Cites Work

• Analytic and bootstrap estimates of prediction errors in claims reserving