An investigation into stochastic claims reserving models and the chain-ladder technique

Insurance: Mathematics and Economics

Volumn 26, Issue 1, 2000, Pages 91-99

  Verrall, R J ^a  

^a CITY UNIVERSITY   (United Kingdom)

Author keywords

Chain ladder technique; Generalised linear models; Loss run off triangles

Indexed keywords

EID: 0002638755     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(99)00038-4     Document Type: Article

References (7)

1. England P.D., Verrall R.J. Analytic and bootstrap estimates of prediction error in claims reserving. Insurance: Mathematics and Economics. 26:1999;281-293.
2. Mack T. Distribution-free calculation of the standard error of chain ladder reserve estimates. ASTIN Bulletin. 23:1993;213-225.
3. Renshaw A.E., Verrall R.J. A stochastic model underlying the chain-ladder technique. British Actuarial Journal. 14:1998;903-923.
4. Taylor G.C. Separation of inflation and other effects from the distribution of non-life insurance claim delays. ASTIN Bulletin. 9:1977;217-230.
5. Verbeek H.G. An approach to the analysis of claims experience in motor liability excess-of-loss reinsurance. ASTIN Bulletin. 6:1972;195-203.
6. Verrall R.J. Chain ladder and maximum likelihood. Journal of the Institute of Actuaries. 118:1991;489-499.
7. Verrall, R.J., 1996. Claims Reserving. Notes for a Short Course presented at City University.