The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

DOI10.2143/AST.34.2.505150MaRDI QIDQ5490572zbMATH OpenOpenAlexFDO

Authors

Publication date 4 October 2006

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.34.2.505150

zbMATH Keywords

prediction errorchain laddercorrelation of run-offssegmented portfolio

Mathematics Subject Classification ID

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

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Cites work

• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor

Cited in

(25)

• A Bayesian log-normal model for multivariate loss reserving
• Modeling dependence between loss triangles with hierarchical Archimedean copulas
• Forecasting runoff triangles
• Copula based Bayesian data analysis of loss reserving
• Rank-based methods for modeling dependence between loss triangles
• Univariate and multivariate claims reserving with generalized link ratios
• Chain ladder and error propagation
• Prediction error in the overdispersed Poisson model for loss development triangles
• Applying state space models to stochastic claims reserving
• Loss prediction based on run-off triangles
• A synchronous bootstrap to account for dependencies between lines of business in the estimation of loss reserve prediction error
• Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model
• Multivariate loss prediction in the multivariate additive model
• A quantitative study of chain ladder based pricing approaches for long-tail quota shares
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• Risk Management and Capital Allocation for Non-Life Insurance Companies
• Consistent loss prediction for a portfolio and its subportfolios
• Sarmanov family of bivariate distributions for multivariate loss reserving analysis
• Bifurcation of attritional and large losses in an additive IBNR environment
• A general multivariate chain ladder model
• Prediction error in the chain ladder method
• Common shock models for claim arrays
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
• Bayesian modeling of multivariate loss reserving data based on scale mixtures of multivariate normal distributions: estimation and case influence diagnostics
• Prediction error of the expected claims development result in the chain ladder method

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