Accounting Year Effects Modeling in the Stochastic Chain Ladder Reserving Method

DOI10.1080/10920277.2010.10597587zbMath1219.91074MaRDI QIDQ3088975

Mario V. Wüthrich

Publication date: 23 August 2011

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

Full work available at URL: https://doi.org/10.1080/10920277.2010.10597587

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS, CALENDAR YEAR EFFECT MODELING FOR CLAIMS RESERVING IN HGLM, A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES, A Bayesian Log-Normal Model for Multivariate Loss Reserving, Sarmanov Family of Bivariate Distributions for Multivariate Loss Reserving Analysis, An incremental loss ratio method using prior information on calendar year effects, A multivariate evolutionary generalised linear model framework with adaptive estimation for claims reserving, Assessing inflation risk in non-life insurance, Modeling accounting year dependence in runoff triangles, Univariate and multivariate claims reserving with generalized link ratios

Uses Software

• BUGS

Cites Work

• Unnamed Item
• Prediction error in the chain ladder method
• Weak convergence and optimal scaling of random walk Metropolis algorithms
• Claims reserving: A correlated Bayesian model
• A course in credibility theory and its applications
• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models
• Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
• Credibility for the Chain Ladder Reserving Method
• Bayesian Measures of Model Complexity and Fit
• Monte Carlo sampling methods using Markov chains and their applications
• Solvency
• Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty
• Bayesian Estimation of Outstanding Claim Reserves
• A Bayesian Generalized Linear Model for the Bornhuetter-Ferguson Method of Claims Reserving
• Actuarial Modeling with MCMC and BUGs