A model study about the applicability of the chain ladder method

DOI10.1080/03461238.2013.852992MaRDI QIDQ4576909zbMATH OpenOpenAlexFDO

Authors Magda Schiegl

Publication date 11 July 2018

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461238.2013.852992

zbMATH Keywords

chain ladder methodclaim reservingcollective model of risk theoryIBNR reserveMonte Carlo simulationrisk managementSolvency IIstochastic model

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Chain Ladder Bias
• scientific article; zbMATH DE number 3936330 (Why is no real title available?)
• On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study
• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• Prediction of RBNS and IBNR claims using claim amounts and claim counts

Cited in

(13)

• Loss development forecasting models: an econometrician's view
• Collective loss reserving with two types of claims in motor third party liability insurance
• A model for classification of intermediate measures and evaluating the performance of chain and its members
• Linear stochastic reserving methods
• Stochastic model to evaluate the fair value of motor third-party liability under the direct reimbursement scheme and quantification of the capital requirement in a Solvency II perspective
• On the relationship between classical chain ladder and granular reserving
• Robust bootstrap procedures for the chain-ladder method
• On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study
• Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
• Beyond the Tweedie reserving model: the collective approach to loss development
• scientific article; zbMATH DE number 5274743 (Why is no real title available?)
• A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS
• Chain Ladder Prediction and Asset Liability Management

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