The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach

DOI10.2143/AST.36.2.2017939MaRDI QIDQ3632853zbMATH OpenOpenAlexFDO

Authors Alois Gisler

Publication date 15 June 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.36.2.2017939

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Cited in

(10)

• Parameter uncertainty and reserve risk under Solvency II
• Full Bayesian analysis of claims reserving uncertainty
• Robust Bayesian estimation and prediction of reserves in exponential model with quadratic variance function
• Bounds on the estimation error in the chain ladder method
• The reserve uncertainties in the chain ladder model of Mack revisited
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
• Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting
• Estimation error and bootstrapping in the chain-ladder model of Mack
• Prediction error in the chain ladder method

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