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Which stochastic model is underlying the chain ladder method? · Study

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ArticleWhich stochastic model is underlying the chain ladder method?

Thomas M. Mack1994

Article1994

Which stochastic model is underlying the chain ladder method?

86 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Insurance, Mortality, Demography, Risk Management

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References

1993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates 1982IBNR-claims and the two-way model of ANOVA

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2003Bootstrap Methodology in Claim Reserving 2002Bayesian Estimation of Outstanding Claim Reserves 2008Credibility for the Chain Ladder Reserving Method 2006Forecasting Runoff Triangles 2000A comparison of stochastic models that reproduce chain ladder reserve estimates

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Year1994

Typearticle

Published1994-12-01

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations86

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/0167-6687(94)90789-7

openalex_workW2058218656

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