A comparison of stochastic models that reproduce chain ladder reserve estimates

Insurance: Mathematics and Economics

Volumn 26, Issue 1, 2000, Pages 101-107

  Mack, Thomas ^a   Venter, Gary ^b  

^a Munich Re Foundation   (Germany)

^b Two World Trade Center   (United States)

Author keywords

Chain ladder; Distribution free model; Over dispersed Poisson model

Indexed keywords

EID: 0000072282     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00039-6     Document Type: Article

References (11)

1. DeVylder, 1978. Estimation of IBNR claims by least squares, Mitteilungen der SVVM 78, 249-254.
2. England, Verrall, 1998. Standard errors of prediction in claims reserving: a comparison of methods, Proceedings of the General Insurance Convention & ASTIN Colloquium, Glasgow, vol. 1, pp. 459-478.
3. Hachemeister, Stanard, 1975. IBNR claims count estimation with static lag functions, Spring Meeting of the Casualty Actuarial Society.
4. Kremer, 1984. A class of autoregressive models for predicting the final claims amount, IME 3, pp. 111-119.
5. Mack, 1991. A simple parametric model for rating automobile insurance or estimating IBNR claims reserves, ASTIN Bulletin 21, 93-109.
6. Mack, 1993. Distribution-free calculation of the standard error of chain ladder reserve estimates, ASTIN Bulletin 23, pp. 213-225.
7. Mack, 1994. Which stochastic model is underlying the chain ladder method?, IME 15, 133-138.
8. Renshaw, Verrall, 1994. A stochastic model underlying the chain-ladder technique, Proceedings of the ASTIN Colloquium in Cannes, pp. 45-69 (see also BAJ 1998, vol. 4 IV, pp. 903-923).
9. Renshaw, Verrall, 1994. A stochastic model underlying the chain-ladder technique, Proceedings of the ASTIN Colloquium in Cannes, pp. 45-69 (see also BAJ 1998, vol. 4 IV, pp. 903-923).
10. Schmidt, Wünsche, 1998. Chain ladder, marginal sum and maximum likelihood estimation, Blätter der DGVM 23, pp. 267-277.
11. Venter, 1998. Testing the assumptions of age-to-age factors, Proceedings of the Casualty Actuarial Society LXXXV.