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Modified Munich Chain-Ladder Method

Author

Listed:
  • Michael Merz

    (Faculty of Business Administration, University of Hamburg, 20146 Hamburg, Germany)

  • Mario V. Wüthrich

    (ETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, Switzerland
    Swiss Finance Institute SFI Professor.)

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.

Suggested Citation

  • Michael Merz & Mario V. Wüthrich, 2015. "Modified Munich Chain-Ladder Method," Risks, MDPI, vol. 3(4), pages 1-23, December.
    • Handle: RePEc:gam:jrisks:v:3:y:2015:i:4:p:624-646:d:60969
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    References listed on IDEAS

    as
    1. Mario V. Wuthrich & Michael Merz, 2015. "Stochastic Claims Reserving Manual: Advances in Dynamic Modeling," Swiss Finance Institute Research Paper Series 15-34, Swiss Finance Institute.
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