A comparison of models for the chain-ladder method

Insurance: Mathematics and Economics

Volumn 31, Issue 3, 2002, Pages 351-364

  Hess, Klaus Th ^a   Schmidt, Klaus D ^a  

^a DRESDEN UNIVERSITY OF TECHNOLOGY   (Germany)

Author keywords

Chain ladder method; Claims reserving; Stochastic models

Indexed keywords

EID: 0037146861     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00160-9     Document Type: Article

References (20)

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5. Mack, Th., 1993. Distribution-free calculation of the standard error of chain ladder reserve estimates. ASTIN Bulletin 23, 213-225.
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14. Schmidt, K.D., 2002a. Versicherungsmathematik. Springer, Berlin.
15. Schmidt, K.D., 2002b. A note on the overdispersed Poisson family. Insurance Mathematics and Economics 30, 21-25.
16. Schmidt, K.D., Schnaus, A., 1996. An extension of Mack's model for the chain ladder method. ASTIN Bulletin 26, 247-262.
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18. Verrall, R.J., 2000. An investigation into stochastic claims reserving models and the chain-ladder technique. Insurance Mathematics and Economics 26, 91-99.
19. Verrall, R.J., England, P.D., 2000. Comments on 'A comparison of stochastic models that reproduce chain ladder reserve estimates' by Mack and Venter. Insurance Mathematics and Economics 26, 109-111.
20. Witting, Th., 1987. Kredibilitätsschätzungen für die Anzahl IBNR-Schäden. Blätter DGVM 18, 45-58.