A model study about the applicability of the Chain Ladder method

DOI10.1080/03461238.2013.852992zbMath1401.91190OpenAlexW2081284461MaRDI QIDQ4576909

Magda Schiegl

Publication date: 11 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.852992

zbMATH Keywords

Monte Carlo simulationrisk managementstochastic modelchain ladder methodSolvency IIIBNR reserveclaim reservingcollective model of risk theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

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Cites Work

• Prediction of Outstanding Liabilities II. Model Variations and Extensions
• On the Safety Loading for Chain Ladder Estimates: a Monte Carlo Simulation Study
• Chain Ladder Bias
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