- Journal Article
In this paper we consider the claims reserving problem in a multivariate context: that is, we study the multivariate chain-ladder (CL) method for a portfolio of N correlated runoff triangles based on multivariate age-to-age factors. This method allows for a simultaneous study of individual runoff subportfolios and facilitates the derivation of an estimator for the mean square error of prediction (MSEP) for the CL predictor of the ultimate claim of the total portfolio. However, unlike the already existing approaches we replace the univariate CL predictors with multivariate ones. These multivariate CL predictors reflect the correlation structure between the subportfolios and are optimal in terms of a classical optimality criterion, which leads to an improvement of the estimator for the MSEP. Moreover, all formulas are easy to implement on a spreadsheet because they are in matrix notation. We illustrate the results by means of an example. Show more
Journal / seriesNorth American actuarial journal
Pages / Article No.
PublisherTaylor & Francis
Organisational unit03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
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