Paid-incurred chain claims reserving method

DOI10.1016/j.insmatheco.2010.02.004zbMath1231.91217OpenAlexW2059688066MaRDI QIDQ659269

Mario V. Wüthrich, Michael Merz

Publication date: 10 February 2012

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.02.004

zbMATH Keywords

claims reservingclaims incurredclaims paymentsincurred lossesoutstanding loss liabilitiesprediction uncertaintyultimate loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING ⋮ Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function ⋮ Micro-level stochastic loss reserving for general insurance ⋮ ONE-YEAR PREMIUM RISK AND EMERGENCE PATTERN OF ULTIMATE LOSS BASED ON CONDITIONAL DISTRIBUTION ⋮ A review of Bayesian asymptotics in general insurance applications ⋮ Credibility in Loss Reserving ⋮ Claims development result in the paid-incurred chain reserving method ⋮ Market value margin calculations under the cost of capital approach within a Bayesian chain ladder framework ⋮ Robust Bayesian analysis of loss reserving data using scale mixtures distributions ⋮ PAID-INCURRED CHAIN RESERVING METHOD WITH DEPENDENCE MODELING ⋮ INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK ⋮ A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES ⋮ A Bayesian Log-Normal Model for Multivariate Loss Reserving ⋮ Individual loss reserving using paid-incurred data ⋮ A copula based Bayesian approach for paid-incurred claims models for non-life insurance reserving

Cites Work

• Using expected loss ratios in reserving
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• Stochastic simulation: Algorithms and analysis
• Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
• Credibility for the Chain Ladder Reserving Method
• Probability with Martingales
• Actuarial Modeling with MCMC and BUGs
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