The chain ladder method
Robust bootstrap procedures for the chain-ladder method
... estimation method. The Pearson residuals obtained from the classical chain-ladder method are given in Table ...classical method is so heavily affected by the outliers that the fitted ...
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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 ...
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The Benktander claim reserving method, combining chain ladder method and Bornhuetter-Ferguson method using optimal credibility
... the chain ladder method is predicted from multiplication of ultimate claims in the latest accident year with age-to-age ...credible chain ladder method is required. In this ...
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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 ...
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Double Chain Ladder
... The chain ladder method is one of the most celebrated and well-known methods of estimating outstanding liabilities in non-life ...simple method that is intuitively appealing, and which often ...
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Double Chain Ladder and Bornhuetter-Ferguson
... proposed method is motivated by the potential lack of stability of Double Chain Ladder (and of the classical Chain ladder method ...classical Chain Ladder (CLM) ...
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Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-off Triangles
... the chain ladder estimate for the claims reserves, however (due to their differences) they lead to different estimators (and values) for prediction ...the chain ladder ...the chain ...
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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 ...
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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 ...
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A Chain-Ladder Analysis of P& I Claims
... we calculate the scaled Pearson residuals which we bootstrap R times to forecast future incremental claims payments via the standard chain-ladder method. In the second stage we simulate the process ...
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CAS: Chain-Ladder Bias: Its Reason and Meaning
... The chain-ladder method is a common tech- nique whereby actuaries develop losses from a less mature present to a more mature ...(CL) method.” The origin of the method is ob- scured in ...
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On the relationship between classical chain ladder and granular reserving
... classical chain ladder method is the independence of underwriting date (row) effect and delay (column) effect, since the development factors do not depend on the underwriting ...then chain ...
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Double chain ladder, claims development inflation and zero-claims
... Double Chain Ladder demonstrated how the classical chain ladder tech- nique can be broken down into separate ...classical chain ladder method as a model of the ob- served ...
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Validating the double chain ladder stochastic claims reserving model
... adequate method for each situation. One of these methods is the classical Chain Ladder method ...deterministic method that operates on the historical data contained in the so called ...
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CAS: Validating the Double Chain Ladder Stochastic Claims Reserving Model
... incurred chain ladder ...BDCL method does not replicate the results obtained by applying the classical chain ladder method to the incurred ...paid chain ladder ...
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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 ...
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Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
... reserving, chain ladder method, credibility chain ladder method, claims development result, year end expectation, loss experience prior accident years, liability at maturity, ...
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Loss Reserving Chain Ladder Methods Applied to a Small Midwestern Insurance Company
... deterministic method was introduced as well as 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 ...
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Forecasting in an extended chain-ladder-type model
... An important point of the analysis is that the data will not contain in- formation about the forecast period so acturial judgement will have to be based on external information. The actuary may have various types of in- ...
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Parameter Reduction in Log-normal Chain-ladder Models
... “tail factors” without making further assumptions. In this paper and in Verrall-W¨ uthrich [14] we tackle this problem by formulating what is often done practically in an ad hoc manner into a statistical method of ...
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