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An investigation into stochastic claims reserving models and the chain-ladder technique

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  • Verrall, R. J.

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  • Verrall, R. J., 2000. "An investigation into stochastic claims reserving models and the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 91-99, February.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:1:p:91-99
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    References listed on IDEAS

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    1. repec:cup:astinb:v:6:y:1972:i:03:p:195-202_01 is not listed on IDEAS
    2. 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.
    3. Renshaw, A.E. & Verrall, R.J., 1998. "A Stochastic Model Underlying the Chain-Ladder Technique," British Actuarial Journal, Cambridge University Press, vol. 4(4), pages 903-923, October.
    4. repec:cup:astinb:v:23:y:1993:i:02:p:213-225_01 is not listed on IDEAS
    5. repec:cup:astinb:v:9:y:1977:i:1-2:p:219-230_01 is not listed on IDEAS
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    Citations

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    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. Liivika Tee & Meelis Käärik & Rauno Viin, 2017. "On Comparison of Stochastic Reserving Methods with Bootstrapping," Risks, MDPI, vol. 5(1), pages 1-21, January.
    3. 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.
    4. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2022. "Mack-Net model: Blending Mack's model with Recurrent Neural Networks," Papers 2205.07334, arXiv.org.
    5. 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.
    6. Kunkler, Michael, 2006. "Modelling negatives in stochastic reserving models," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 540-555, June.
    7. Verrall, R.J. & England, P.D., 2005. "Incorporating expert opinion into a stochastic model for the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 355-370, October.
    8. Benjamin Avanzi & Xingyun Tan & Greg Taylor & Bernard Wong, 2023. "On the evolution of data breach reporting patterns and frequency in the United States: a cross-state analysis," Papers 2310.04786, arXiv.org, revised Jun 2024.
    9. Dong, A.X.D. & Chan, J.S.K., 2013. "Bayesian analysis of loss reserving using dynamic models with generalized beta distribution," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 355-365.
    10. Taylor, Greg, 2021. "A special Tweedie sub-family with application to loss reserving prediction error," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 262-288.
    11. Cadogan, Godfrey, 2010. "Forecasting The Pricing Kernel of IBNR Claims Development In Property-Casualty Insurance," MPRA Paper 23235, University Library of Munich, Germany.
    12. Eduardo Ramos-P'erez & Pablo J. Alonso-Gonz'alez & Jos'e Javier N'u~nez-Vel'azquez, 2020. "Stochastic reserving with a stacked model based on a hybridized Artificial Neural Network," Papers 2008.07564, arXiv.org.
    13. 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.
    14. Lindholm, Mathias & Verrall, Richard, 2020. "Regression based reserving models and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 109-124.
    15. 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.
    16. Schmidt, Klaus D., 2002. "A note on the overdispersed Poisson family," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 21-25, February.
    17. Verdonck, T. & Debruyne, M., 2011. "The influence of individual claims on the chain-ladder estimates: Analysis and diagnostic tool," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 85-98, January.
    18. Huang, Jinlong & Qiu, Chunjuan & Wu, Xianyi & Zhou, Xian, 2015. "An individual loss reserving model with independent reporting and settlement," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 232-245.
    19. Sukriye Tuysuz & Pervin Pekel, 2019. "A Comparison of Stochastic Claims Reserving Methods," European Journal of Business and Management Research, European Open Science, vol. 4(4), August.
    20. Siu, Tak Kuen, 2025. "Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving," Econometrics and Statistics, Elsevier, vol. 33(C), pages 180-208.
    21. 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.

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