Modified Munich Chain-Ladder Method
Faculty of Business Administration, University of Hamburg, 20146 Hamburg, Germany
ETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, Switzerland
Swiss Finance Institute SFI Professor.
Author to whom correspondence should be addressed.
Academic Editor: Alexander Szimayer
Received: 30 September 2015 / Accepted: 1 December 2015 / Published: 21 December 2015
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.
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MDPI and ACS Style
Merz, M.; Wüthrich, M.V. Modified Munich Chain-Ladder Method. Risks 2015, 3, 624-646.
Merz M, Wüthrich MV. Modified Munich Chain-Ladder Method. Risks. 2015; 3(4):624-646.
Merz, Michael; Wüthrich, Mario V. 2015. "Modified Munich Chain-Ladder Method." Risks 3, no. 4: 624-646.
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