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Open access
Date
2015Type
- 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. Show more
Permanent link
https://doi.org/10.3929/ethz-b-000108984Publication status
publishedExternal links
Journal / series
RisksVolume
Pages / Article No.
Publisher
MDPISubject
Munich chain-ladder method; Claims reserving; Prediction uncertainty; Mean-square error of prediction; Multivariate Gaussian model; Paid and incurred claimsOrganisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
Notes
Also published in Swiss Finance Institute Research Paper Series.More
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ETH Bibliography
yes
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