Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167872
Authors: 
Merz, Michael
Wüthrich, Mario V.
Year of Publication: 
2015
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 3 [Year:] 2015 [Issue:] 4 [Pages:] 624-646
Abstract: 
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.
Subjects: 
Munich chain-ladder method
claims reserving
prediction uncertainty
mean-square error of prediction
multivariate Gaussian model
paid and incurred claims
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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