Asymptotic consistency and inconsistency of the chain ladder

DOI10.1016/j.insmatheco.2012.07.004zbMath1284.62162OpenAlexW2064209888MaRDI QIDQ2445361

Šárka Hudecová, Michal Pešta

Publication date: 14 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2012.07.004

zbMATH Keywords

asymptotic propertieschain ladderclaims reservingdevelopment factors

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (9)

Asymptotic theory for Mack's model ⋮ Changepoint in dependent and non-stationary panels ⋮ Unnamed Item ⋮ Infinitely stochastic micro reserving ⋮ Modeling dependencies in claims reserving with GEE ⋮ Conditional least squares and copulae in claims reserving for a single line of business ⋮ Testing structural changes in panel data with small fixed panel size and bootstrap ⋮ The Bühlmann-Straub estimation of claim means in random B-F reserve model ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING

Uses Software

• R

Cites Work

• Which stochastic model is underlying the chain ladder method?
• Unnamed Item
• Unnamed Item

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