Chain ladder, marginal sum and maximum likelihood estimation

DOI10.1007/BF02808289MaRDI QIDQ4395759zbMATH OpenFDO

Authors Klaus D. Schmidt, Angela Wünsche

Publication date 14 September 1998

Published in Blätter der DGVFM (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02808289

zbMATH Keywords

chain ladder methodmarginal sum estimationmaximum likelihood estimationmultinomial modelmultiplicative modelreporting of claimsreserving

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Prediction of IBNR claim counts by modelling the distribution of report lags

Cited in

(26)

• A comparison of models for the chain--ladder method
• Loss prediction based on run-off triangles
• Maximum-likelihood and marginal-sum estimation in some particular collective models
• Which stochastic model is underlying the chain ladder method?
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• Asymptotic consistency and inconsistency of the chain ladder
• Loss reserving and Hofmann distributions
• Maximum likelihood approach for calculating insurance claims reserve
• Linear stochastic reserving methods
• Diagonal effects in claims reserving
• Maximum likelihood and estimation efficiency of the chain ladder
• Bounds on the estimation error in the chain ladder method
• Credibility for the Chain Ladder Reserving Method
• The geometric chain-ladder
• A model study about the applicability of the chain ladder method
• On the relationship between classical chain ladder and granular reserving
• Separation of small and large claims on the basis of collective models
• Stochastic chain-ladder methods in non-life insurance
• Chain Ladder Bias
• Continuous chain-ladder with paid data
• Chain Ladder Prediction and Asset Liability Management
• Grossing-up, chain-ladder and marginal-sum estimation
• Chain-ladder method and midyear loss reserving
• A general multivariate chain ladder model
• Marginal-sum and maximum-likelihood estimation in a multiplicative tariff
• Combining chain-ladder claims reserving with fuzzy numbers

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