Advanced Search
MyIDEAS: Login to save this article or follow this journal

Paid-incurred chain claims reserving method


Author Info

  • Merz, Michael
  • Wüthrich, Mario V.
Registered author(s):


    We present a novel stochastic model for claims reserving that allows us to combine claims payments and incurred losses information. The main idea is to combine two claims reserving models (Hertig's (1985) model and Gogol's (1993) model ) leading to a log-normal paid-incurred chain (PIC) model. Using a Bayesian point of view for the parameter modelling we derive in this Bayesian PIC model the full predictive distribution of the outstanding loss liabilities. On the one hand, this allows for an analytical calculation of the claims reserves and the corresponding conditional mean square error of prediction. On the other hand, simulation algorithms provide any other statistics and risk measure on these claims reserves.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 46 (2010)
    Issue (Month): 3 (June)
    Pages: 568-579

    as in new window
    Handle: RePEc:eee:insuma:v:46:y:2010:i:3:p:568-579

    Contact details of provider:
    Web page:

    Related research

    Keywords: Claims reserving Outstanding loss liabilities Ultimate loss Claims payments Claims incurred Incurred losses Prediction uncertainty;


    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Gogol, Daniel, 1993. "Using expected loss ratios in reserving," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 12(3), pages 297-299, June.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Robert, Christian Y., 2013. "Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(1), pages 216-229.
    2. Gareth W. Peters & Alice X. D. Dong & Robert Kohn, 2012. "A Copula Based Bayesian Approach for Paid-Incurred Claims Models for Non-Life Insurance Reserving," Papers, 1210.3849,, revised Dec 2012.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:46:y:2010:i:3:p:568-579. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.