IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v15y1994i2-3p133-138.html
   My bibliography  Save this article

Which stochastic model is underlying the chain ladder method?

Author

Listed:
  • Mack, Thomas

Abstract

No abstract is available for this item.

Suggested Citation

  • Mack, Thomas, 1994. "Which stochastic model is underlying the chain ladder method?," Insurance: Mathematics and Economics, Elsevier, vol. 15(2-3), pages 133-138, December.
    • Handle: RePEc:eee:insuma:v:15:y:1994:i:2-3:p:133-138
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0167-6687(94)90789-7
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

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


    Cited by:

    1. Leonardo Costa & Adrian Pizzinga, 2020. "State‐space models for predicting IBNR reserve in row‐wise ordered runoff triangles: Calendar year IBNR reserves & tail effects," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 438-448, April.
    2. Sebastian Calcetero-Vanegas & Andrei L. Badescu & X. Sheldon Lin, 2023. "Claim Reserving via Inverse Probability Weighting: A Micro-Level Chain-Ladder Method," Papers 2307.10808, arXiv.org, revised Jul 2023.
    3. Spreeuw, Jaap & Goovaerts, Marc, 1998. "Prediction of claim numbers based on hazard rates," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 59-69, October.
    4. Pitselis, Georgios & Grigoriadou, Vasiliki & Badounas, Ioannis, 2015. "Robust loss reserving in a log-linear model," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 14-27.
    5. Schmidt, Klaus D., 1997. "Non-optimal prediction by the chain ladder method," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 17-24, October.
    6. Hess, Klaus Th. & Schmidt, Klaus D., 2002. "A comparison of models for the chain-ladder method," Insurance: Mathematics and Economics, Elsevier, vol. 31(3), pages 351-364, December.
    7. Kunkler, Michael, 2006. "Modelling negatives in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 540-555, June.
    8. Marie Michaelides & Mathieu Pigeon & H'el`ene Cossette, 2022. "Individual Claims Reserving using Activation Patterns," Papers 2208.08430, arXiv.org, revised Aug 2023.
    9. Benjamin Avanzi & Xingyun Tan & Greg Taylor & Bernard Wong, 2023. "Cyber Insurance Risk: Reporting Delays, Third-Party Cyber Events, and Changes in Reporting Propensity -- An Analysis Using Data Breaches Published by U.S. State Attorneys General," Papers 2310.04786, arXiv.org.
    10. Mack, Thomas & Venter, Gary, 2000. "A comparison of stochastic models that reproduce chain ladder reserve estimates," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 101-107, February.
    11. Paulo J. R. Pinheiro & João Manuel Andrade e Silva & Maria De Lourdes Centeno, 2003. "Bootstrap Methodology in Claim Reserving," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 70(4), pages 701-714, December.
    12. Steinmetz, Julia & Jentsch, Carsten, 2022. "Asymptotic theory for Mack's model," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 223-268.
    13. Portugal, Luís & Pantelous, Athanasios A. & Verrall, Richard, 2021. "Univariate and multivariate claims reserving with Generalized Link Ratios," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 57-67.
    14. D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
    15. England, Peter & Verrall, Richard, 1999. "Analytic and bootstrap estimates of prediction errors in claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 281-293, December.
    16. Kunkler, Michael, 2004. "Modelling zeros in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, vol. 34(1), pages 23-35, February.
    17. Pešta, Michal & Hudecová, Šárka, 2012. "Asymptotic consistency and inconsistency of the chain ladder," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 472-479.
    18. Alicja Wolny-Dominiak, 2016. "The hierarchical generalized linear model and the bootstrap estimator of the error of prediction of loss reserves in a non-life insurance company," Papers 1612.04126, arXiv.org.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:15:y:1994:i:2-3:p:133-138. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.