Modified Munich Chain-Ladder Method
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Author / Producer
Date
2015
Publication Type
Journal Article
ETH Bibliography
yes
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Abstract
The Munich chain-ladder method for claims reserving was introduced by Quarg and Mack on an axiomatic basis. We analyze these axioms, and we define a modified Munich chain-ladder method which is based on an explicit stochastic model. This stochastic model then allows us to consider claims prediction and prediction uncertainty for the Munich chain-ladder method in a consistent way.
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published
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Book title
Journal / series
Volume
3 (4)
Pages / Article No.
624 - 646
Publisher
MDPI
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Munich chain-ladder method; Claims reserving; Prediction uncertainty; Mean-square error of prediction; Multivariate Gaussian model; Paid and incurred claims
Organisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
Notes
Also published in Swiss Finance Institute Research Paper Series.