On the relationship between classical chain ladder and granular reserving

DOI10.1080/03461238.2016.1240709MaRDI QIDQ4577201zbMATH OpenOpenAlexFDO

Authors Munir Hiabu

Publication date 17 July 2018

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

Full work available at URL https://openaccess.city.ac.uk/id/eprint/16953/1/dh.pdf

zbMATH Keywords

Solvency IIchain laddernon-life insurancedevelopment factorsgranular reserving

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Chain ladder, marginal sum and maximum likelihood estimation
• Asymptotic consistency and inconsistency of the chain ladder
• Continuous chain-ladder with paid data
• Credibility for the Chain Ladder Reserving Method
• Grossing-up, chain-ladder and marginal-sum estimation

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• A Functional Central Limit Theorem for Semimartingales
• A model study about the applicability of the chain ladder method
• Applying copula models to individual claim loss reserving methods
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• Bootstrapping individual claim histories
• Boundary and Bias Correction in Kernel Hazard Estimation
• Bounds on the estimation error in the chain ladder method
• Consistent nonparametric regression. Discussion
• Double chain ladder
• IBNR-claims and the two-way model of ANOVA
• In-sample forecasting with local linear survival densities
• Individual loss reserving with the multivariate skew normal framework
• Loss prediction based on run-off triangles
• Marker dependent kernel hazard estimation from local linear estimation
• Micro-level stochastic loss reserving for general insurance
• Nonparametric analysis of truncated survival data, with application to AIDS
• Nonparametric inference for a family of counting processes
• Prediction of RBNS and IBNR claims using claim amounts and claim counts
• Reanalysis of Some Baboon Descent Data
• Reserving by Conditioning on Markers of Individual Claims: A Case Study Using Historical Simulation
• Robust Locally Weighted Regression and Smoothing Scatterplots
• Semiparametric model for prediction of individual claim loss reserving
• Smoothing counting process intensities by means of kernel functions
• Smoothing methods in statistics
• Statistical inference in the Lexis diagram
• Statistical models based on counting processes
• Stochastic claims reserving methods in insurance
• Stochastic projection for large individual losses
• Testing Goodness of Fit of a Uniform Truncation Model
• Testing the assumption of independence of truncation time and failure time

Cited in

(6)

• Individual reserving and nonparametric estimation of claim amounts subject to large reporting delays
• Continuous chain-ladder with paid data
• Smooth Backfitting of Proportional Hazards With Multiplicative Components
• Estimating IBNR claim counts using different levels of data aggregation
• A comparison of in-sample forecasting methods
• Modeling Payment Frequency for Loss Reserves Based on Dynamic Claim Scores

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Uses Software

• DCL

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