Prediction Error of the Multivariate Chain Ladder Reserving Method

DOI10.1080/10920277.2008.10597509MaRDI QIDQ5022534zbMATH OpenOpenAlexFDO

Authors Michael Merz, Mario V. Wüthrich

Publication date 19 January 2022

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2008.10597509

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Recommendations

• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
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• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
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• Prediction error in the chain ladder method
• Prediction error of the expected claims development result in the chain ladder method
• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor

Cites work

• A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error
• Bounds on the estimation error in the chain ladder method
• Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
• scientific article; zbMATH DE number 739283 (Why is no real title available?)
• scientific article; zbMATH DE number 2122817 (Why is no real title available?)
• The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

Cited in

(15)

• Rank-based methods for modeling dependence between loss triangles
• Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
• Univariate and multivariate claims reserving with generalized link ratios
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
• Consistent loss prediction for a portfolio and its subportfolios
• Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis
• Applying state space models to stochastic claims reserving
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• Detection and correction of outliers in the bivariate chain-ladder method
• On the impact of outliers in loss reserving
• A general multivariate chain ladder model
• Dynamic factor models for claim reserving
• Individual loss reserving for multi-coverage insurance
• Multivariate loss prediction in the multivariate additive model

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