Modified Munich Chain-Ladder Method
AbstractThe 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. View Full-Text
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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.Chicago/Turabian Style
Merz, Michael; Wüthrich, Mario V. 2015. "Modified Munich Chain-Ladder Method." Risks 3, no. 4: 624-646.