Credibility for the Chain Ladder Reserving Method

DOI10.2143/AST.38.2.2033354zbMath1274.91486OpenAlexW4252297277MaRDI QIDQ3634592

Alois Gisler, Mario V. Wüthrich

Publication date: 25 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.38.2.2033354

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (20)

Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves ⋮ BAYESIAN CHAIN LADDER MODELS ⋮ EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Full Bayesian analysis of claims reserving uncertainty ⋮ Credibility in Loss Reserving ⋮ Unnamed Item ⋮ A maximum-entropy approach to the linear credibility formula ⋮ A new approach to the credibility formula ⋮ Paid-incurred chain claims reserving method ⋮ Chain ladder method: Bayesian bootstrap versus classical bootstrap ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ Full and 1‐year runoff risk in the credibility‐based additive loss reserving method ⋮ Reversible Jump Markov Chain Monte Carlo Method for Parameter Reduction in Claims Reserving ⋮ On sequential Monte Carlo, partial rejection control and approximate Bayesian computation ⋮ A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING ⋮ Neural network embedding of the over-dispersed Poisson reserving model ⋮ Combining chain-ladder claims reserving with fuzzy numbers ⋮ Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method ⋮ The Bühlmann-Straub estimation of claim means in random B-F reserve model

Cites Work

• A course in credibility theory and its applications
• Unnamed Item

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