Credibility for the Chain Ladder Reserving Method

DOI10.2143/AST.38.2.2033354MaRDI QIDQ3634592zbMATH OpenOpenAlexFDO

Authors 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

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

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Cites work

• A course in credibility theory and its applications
• Stochastic claims reserving methods in insurance

Cited in

(28)

• Full Bayesian analysis of claims reserving uncertainty
• Robust Bayesian estimation and prediction in gamma-gamma model of claim reserves
• Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function
• A maximum-entropy approach to the linear credibility formula
• Credible loss ratio claims reserves the Benktander, Neuhaus and Mack methods revisited
• Recursive credibility formula for chain ladder factors and the claims development result
• Accounting year effects modeling in the stochastic chain ladder reserving method
• scientific article; zbMATH DE number 8210 (Why is no real title available?)
• Credible Claims Reserves: the Benktander Method
• Bayesian chain ladder models
• Credibility claims reserving with stochastic diagonal effects
• EXISTENCE AND UNIQUENESS OF CHAIN LADDER SOLUTIONS
• On the relationship between classical chain ladder and granular reserving
• Claims reserving when there are negative values in the runoff triangle
• A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
• Reversible jump Markov chain Monte Carlo method for parameter reduction in claims reserving
• Neural network embedding of the over-dispersed Poisson reserving model
• One-year estimation uncertainty in some claim development models
• Credibility in Loss Reserving
• Full and 1‐year runoff risk in the credibility‐based additive loss reserving method
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• The empirical Bayesian estimate of claim development factors in liability reserve model
• A new approach to the credibility formula
• Paid-incurred chain claims reserving method
• Chain ladder method: Bayesian bootstrap versus classical bootstrap
• On sequential Monte Carlo, partial rejection control and approximate Bayesian computation
• Combining chain-ladder claims reserving with fuzzy numbers
• The Bühlmann-Straub estimation of claim means in random B-F reserve model

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