Modified Munich Chain-Ladder Method

Modified Munich Chain-Ladder Method

The Munich chain-ladder method for claims reserving was introduced by Quarg and Mack on an axiomatic basis. We analyze these axioms, and we define a modified Munich chain-ladder method which is based on an explicit stochastic model. This stochastic model then allows us to consider claims prediction...

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Bibliographic Details
Main Authors: Michael Merz, Mario V. Wüthrich
Format: Article
Language:English
Published: MDPI AG 2015-12-01
Series:Risks
Subjects:
Munich chain-ladder method
claims reserving
prediction uncertainty
mean-square error of prediction
multivariate Gaussian model
paid and incurred claims
Online Access:http://www.mdpi.com/2227-9091/3/4/624

Internet

http://www.mdpi.com/2227-9091/3/4/624

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