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Article

Modified Munich Chain-Ladder Method

by 1,* and 2,†
1
Faculty of Business Administration, University of Hamburg, 20146 Hamburg, Germany
2
ETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, Switzerland
*
Author to whom correspondence should be addressed.
Swiss Finance Institute SFI Professor.
Academic Editor: Alexander Szimayer
Risks 2015, 3(4), 624-646; https://doi.org/10.3390/risks3040624
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)
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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MDPI and ACS Style

Merz, M.; Wüthrich, M.V. Modified Munich Chain-Ladder Method. Risks 2015, 3, 624-646. https://doi.org/10.3390/risks3040624

AMA Style

Merz M, Wüthrich MV. Modified Munich Chain-Ladder Method. Risks. 2015; 3(4):624-646. https://doi.org/10.3390/risks3040624

Chicago/Turabian Style

Merz, Michael, and Mario V. Wüthrich. 2015. "Modified Munich Chain-Ladder Method" Risks 3, no. 4: 624-646. https://doi.org/10.3390/risks3040624

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