Modified Munich Chain-Ladder Method
dc.contributor.author
Merz, Michael
dc.contributor.author
Wüthrich, Mario V.
dc.date.accessioned
2019-09-10T13:57:13Z
dc.date.available
2017-06-11T22:14:31Z
dc.date.available
2019-09-10T13:57:13Z
dc.date.issued
2015
dc.identifier.other
10.3390/risks3040624
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/108984
dc.identifier.doi
10.3929/ethz-b-000108984
dc.description.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.
en_US
dc.format
application/pdf
en_US
dc.language.iso
en
en_US
dc.publisher
MDPI
en_US
dc.rights.uri
http://creativecommons.org/licenses/by/4.0/
dc.subject
Munich chain-ladder method
en_US
dc.subject
Claims reserving
en_US
dc.subject
Prediction uncertainty
en_US
dc.subject
Mean-square error of prediction
en_US
dc.subject
Multivariate Gaussian model
en_US
dc.subject
Paid and incurred claims
en_US
dc.title
Modified Munich Chain-Ladder Method
en_US
dc.type
Journal Article
dc.rights.license
Creative Commons Attribution 4.0 International
dc.date.published
2015-12-21
ethz.journal.title
Risks
ethz.journal.volume
3
en_US
ethz.journal.issue
4
en_US
ethz.pages.start
624
en_US
ethz.pages.end
646
en_US
ethz.version.deposit
publishedVersion
en_US
ethz.notes
Also published in Swiss Finance Institute Research Paper Series.
en_US
ethz.publication.place
Basel
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
ethz.date.deposited
2017-06-11T22:14:49Z
ethz.source
ECIT
ethz.identifier.importid
imp593653d97361486893
ethz.ecitpid
pub:170019
ethz.eth
yes
en_US
ethz.availability
Open access
en_US
ethz.rosetta.installDate
2017-07-20T13:04:56Z
ethz.rosetta.lastUpdated
2024-02-02T09:19:49Z
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true
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