Stochastic chain-ladder methods in non-life insurance

MaRDI QIDQ4631619zbMATH OpenFDO

Authors Liivika Tee

Publication date 12 April 2019

Full work available at URL https://dspace.ut.ee/bitstream/handle/10062/56995/tee_liivika.pdf?sequence=1&isAllowed=y

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

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(7)

• A comparison of models for the chain--ladder method
• Addendum to: ``The multi-year non-life insurance risk in the additive reserving model: Quantification of multi-year non-life insurance risk in chain ladder reserving models
• Stochastic claims reserving methods in insurance
• Bootstrapping individual claim histories
• Bootstrapping the separation method in claims reserving
• A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error
• Estimating IBNR claim counts using different levels of data aggregation

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