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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2015-12-01
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| Series: | Risks |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2227-9091/3/4/624 |
| _version_ | 1818515935108005888 |
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| author | Michael Merz Mario V. Wüthrich |
| author_facet | Michael Merz Mario V. Wüthrich |
| author_sort | Michael Merz |
| collection | DOAJ |
| description | 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 and prediction uncertainty for the Munich chain-ladder method in a consistent way. |
| first_indexed | 2024-12-11T00:35:24Z |
| format | Article |
| id | doaj.art-5a165505f5484b4893abb6a00f551d33 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-12-11T00:35:24Z |
| publishDate | 2015-12-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-5a165505f5484b4893abb6a00f551d332022-12-22T01:27:12ZengMDPI AGRisks2227-90912015-12-013462464610.3390/risks3040624risks3040624Modified Munich Chain-Ladder MethodMichael Merz0Mario V. Wüthrich1Faculty of Business Administration, University of Hamburg, 20146 Hamburg, GermanyETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, SwitzerlandThe 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 and prediction uncertainty for the Munich chain-ladder method in a consistent way.http://www.mdpi.com/2227-9091/3/4/624Munich chain-ladder methodclaims reservingprediction uncertaintymean-square error of predictionmultivariate Gaussian modelpaid and incurred claims |
| spellingShingle | Michael Merz Mario V. Wüthrich Modified Munich Chain-Ladder Method Risks Munich chain-ladder method claims reserving prediction uncertainty mean-square error of prediction multivariate Gaussian model paid and incurred claims |
| title | Modified Munich Chain-Ladder Method |
| title_full | Modified Munich Chain-Ladder Method |
| title_fullStr | Modified Munich Chain-Ladder Method |
| title_full_unstemmed | Modified Munich Chain-Ladder Method |
| title_short | Modified Munich Chain-Ladder Method |
| title_sort | modified munich chain ladder method |
| topic | Munich chain-ladder method claims reserving prediction uncertainty mean-square error of prediction multivariate Gaussian model paid and incurred claims |
| url | http://www.mdpi.com/2227-9091/3/4/624 |
| work_keys_str_mv | AT michaelmerz modifiedmunichchainladdermethod AT mariovwuthrich modifiedmunichchainladdermethod |