Prediction error of the expected claims development result in the chain ladder method

zbMATH Open1333.62256MaRDI QIDQ2801415FDOQ2801415

Authors Michael Merz, Mario V. Wüthrich

Publication date 7 April 2016

Published in Mitteilungen. Schweizerische Aktuarvereinigung (SAV) (Search for Journal in Brave)

Full work available at URL http://www.actuaries.ch/images/getFile?t=bulletin&f=dokument&id=13

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(9)

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• Uncertainty of the claims development result in the chain ladder method
• Combining chain-ladder claims reserving with fuzzy numbers
• Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework
• Prediction error in the overdispersed Poisson model for loss development triangles
• Prediction error in the chain ladder method
• On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
• Double chain ladder, claims development inflation and zero-claims
• Prediction Error of the Multivariate Chain Ladder Reserving Method

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