The chain ladder
Robust bootstrap procedures for the chain-ladder method
... Insurers are faced with the challenge of estimating the future reserves needed to handle historic and outstanding claims that are not fully settled. A well-known and widely used technique is the ...
34
CAS: The Chain Ladder and Tweedie Distributed Claims Data
... not chain ladder for Tweedie distributions other than ODP, the paper investigates why they will be close to chain ladder under certain circum- ...the chain ladder algorithm to ...
9
The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
... the chain ladder method on the basis of a time-series’ model and suggest a new formula for the estimation error, which differs from the formula in the original paper [2] of ...
12
Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-off Triangles
... An alternative idea for calculating aggregated reserves and their uncertainties is that one only calculates the reserves and their uncertainties on the aggregrated run-off triangle; but one should pay attention to the ...
26
The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
... We revisit the famous Mack formula [2], which gives an estimate for the mean square error of prediction MSEP of the chain ladder claims reserving method: We define a time series model for the chain ...
22
Double Chain Ladder
... The chain ladder method is one of the most celebrated and well-known methods of estimating outstanding liabilities in non-life ...of chain ladder type ...
26
Double Chain Ladder and Bornhuetter-Ferguson
... Figure 4 shows box plots of the predictive distribution of the total reserve in the future from BDCL, DCL and CLM. Also shown are histograms of the overall total reserve for future years which represent the predictive ...
24
A Robust General Multivariate Chain Ladder Method
... The chain ladder method is a popular technique to estimate the future reserves needed to handle claims that are not fully ...multivariate chain ladder (GMCL) method has already been ...
18
Stochastic chain-ladder models in nonlife insurance
... the chain-ladder method The primary weakness in the chain-ladder method is that it is a deterministic algorithm, which implies that nothing is known about the variability of the actual ...the ...
114
CAS: Chain-Ladder Bias: Its Reason and Meaning
... 1. Introduction The chain-ladder method is a common tech- nique whereby actuaries develop losses from a less mature present to a more mature future. At each stage of development the actuary determines a ...
34
On the relationship between classical chain ladder and granular reserving
... classical chain ladder to the continuous chain ladder model of Martínez-Miranda et ...that chain ladder has a systematic bias if the row effect has not the same distribution when ...
29
Parameter Reduction in Log-normal Chain-ladder Models
... the chain- ladder (CL) technique because there is an extra parameter (CL factor) for each development ...Markov chain Monte Carlo (RJMCMC) methods were ...
27
Continuous Chain Ladder: Reformulating and generalizing a classical insurance problem
... classical chain ladder and two smoothing methods suggested in the classical reserving ...the chain ladder parameters estimated from quarterly data (Verrall 1996 (check??)) and the following ...
30
CAS: Validating the Double Chain Ladder Stochastic Claims Reserving Model
... = − + ˆ , ˆ ˆ ˆ , figures and all future figures in this paper, the under- writing and development parameter estimates plotted are chosen so that a direct comparison can be made with the chain ladder ...
23
CAS: A Family of Chain-Ladder Factor Models for Selected Link Ratios
... the chain-ladder method within a statistical structure, 3 little ground is devoted to the treatment of the uncertainty of the unpaid claim estimates when the selected factors differ from some prescribed ...
18
Loss Reserving Chain Ladder Methods Applied to a Small Midwestern Insurance Company
... the chain ladder method, both of which are quite common in the insur- ance industry as companies rely on an actuary’s expert knowledge to set appropriate reserves and recognize patterns in the ...
47
CAS: Combining Chain-Ladder and Additive Loss Reserving Methods for Dependent Lines of Business
... In this paper we consider the claim reserv- ing problem in a multivariate context. More pre- cisely, we consider a portfolio consisting of sev- eral correlated run-off subportfolios. On some subportfolios we use the ...
22
The Link Between Classical Reserving and Granular Reserving Through Double Chain Ladder and its Extensions
... the chain ladder method to mathematical statistics has long been debated in actuarial ...deterministic chain ladder can be seen as an autoregres- sive time series or as a multiplicative ...
27
CAS: Chain-Ladder Correlations
... by Greg Taylor AbSTRACT Correlations of future observations are investigated within the recursive and non-recursive chain-ladder models. The recursive models considered are the Mack and over-dispersed ...
9
Forecasting in an extended chain-ladder-type model
... We propose to construct the reserve forecasts through a two-step estima- tion procedure. In a first step the parameters of the model are estimated using linear regression. In a second step the actuary looks at the ...
19