Double chain ladder

DOI10.2143/AST.42.1.2160712MaRDI QIDQ2866000zbMATH OpenOpenAlexFDO

Authors Dolores María Martínez Miranda, Jens Perch Nielsen, Richard Verrall

Publication date 12 December 2013

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL http://openaccess.city.ac.uk/3805/1/DCLpaper.pdf

zbMATH Keywords

bootstrappingchain ladderclaims reservesreserve risk

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cited in

(32)

• Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data
• Prediction of IBNR claim counts by modelling the distribution of report lags
• Explicit moments for a class of micro-models in non-life insurance
• A hierarchical reserving model for reported non-life insurance claims
• Regression based reserving models and partial information
• DCL
• Asymptotics for in-sample density forecasting
• In-sample forecasting applied to reserving and mesothelioma mortality
• The collective reserving model
• Individual loss reserving using paid-incurred data
• Calendar effect and in-sample forecasting
• Prediction of RBNS and IBNR claims using claim amounts and claim counts
• Smooth backfitting in additive inverse regression
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• Claims Reserving with a Stochastic Vector Projection
• The geometric chain-ladder
• Micro-level stochastic loss reserving for general insurance
• Double chain ladder, claims development inflation and zero-claims
• On the relationship between classical chain ladder and granular reserving
• In-sample forecasting: a brief review and new algorithms
• COMPOUND POISSON CLAIMS RESERVING MODELS: EXTENSIONS AND INFERENCE
• On Fitting Dependent Nonhomogeneous Loss Models to Unearned Premium Risk
• A collective reserving model with claim openness
• Collective reserving using individual claims data
• A NEURAL NETWORK BOOSTED DOUBLE OVERDISPERSED POISSON CLAIMS RESERVING MODEL
• Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
• Double Chain Ladder and Bornhuetter-Ferguson
• A MIXTURE MODEL FOR PAYMENTS AND PAYMENT NUMBERS IN CLAIMS RESERVING
• Premium control with reinforcement learning
• Claim reserving via inverse probability weighting: a micro-level chain-ladder method
• Individual claims reserving using the Aalen-Johansen estimator
• Claims Reserving with a Robust Generalized Additive Model

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