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Risks 2015, 3(4), 624-646; doi:10.3390/risks3040624

Modified Munich Chain-Ladder Method

1
Faculty of Business Administration, University of Hamburg, 20146 Hamburg, Germany
2
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
(This article belongs to the Special Issue Applying Stochastic Models in Practice: Empirics and Numerics)
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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. View Full-Text
Keywords: Munich chain-ladder method; claims reserving; prediction uncertainty; mean-square error of prediction; multivariate Gaussian model; paid and incurred claims Munich chain-ladder method; claims reserving; prediction uncertainty; mean-square error of prediction; multivariate Gaussian model; paid and incurred claims
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Merz, M.; Wüthrich, M.V. Modified Munich Chain-Ladder Method. Risks 2015, 3, 624-646.

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