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The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

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  • Braun, Christian

Abstract

It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.

Suggested Citation

  • Braun, Christian, 2004. "The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles," ASTIN Bulletin, Cambridge University Press, vol. 34(2), pages 399-423, November.
    • Handle: RePEc:cup:astinb:v:34:y:2004:i:02:p:399-423_01
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    Citations

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    Cited by:

    1. Peng Shi, 2017. "A Multivariate Analysis of Intercompany Loss Triangles," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(2), pages 717-737, June.
    2. Klaus Schmidt, 2012. "Loss prediction based on run-off triangles," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(2), pages 265-310, June.
    3. Ioannis Badounas & Georgios Pitselis, 2020. "Loss Reserving Estimation With Correlated Run-Off Triangles in a Quantile Longitudinal Model," Risks, MDPI, vol. 8(1), pages 1-26, February.
    4. Himchan Jeong & Dipak Dey, 2020. "Application of a Vine Copula for Multi-Line Insurance Reserving," Risks, MDPI, vol. 8(4), pages 1-23, October.
    5. Morne Joubert & Tanja Verster & Helgard Raubenheimer & Willem D. Schutte, 2021. "Adapting the Default Weighted Survival Analysis Modelling Approach to Model IFRS 9 LGD," Risks, MDPI, vol. 9(6), pages 1-17, June.
    6. Douw Gerbrand Breed & Niel van Jaarsveld & Carsten Gerken & Tanja Verster & Helgard Raubenheimer, 2021. "Development of an Impairment Point in Time Probability of Default Model for Revolving Retail Credit Products: South African Case Study," Risks, MDPI, vol. 9(11), pages 1-22, November.
    7. 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.
    8. Zhang, Yanwei, 2010. "A general multivariate chain ladder model," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 588-599, June.
    9. Hess, Klaus Th. & Schmidt, Klaus D. & Zocher, Mathias, 2006. "Multivariate loss prediction in the multivariate additive model," Insurance: Mathematics and Economics, Elsevier, vol. 39(2), pages 185-191, October.
    10. Yannick Appert-Raullin & Laurent Devineau & Hinarii Pichevin & Philippe Tann, 2013. "One-Year Volatility of Reserve Risk in a Multivariate Framework," Working Papers hal-00848492, HAL.
    11. Kris Peremans & Stefan Van Aelst & Tim Verdonck, 2018. "A Robust General Multivariate Chain Ladder Method," Risks, MDPI, vol. 6(4), pages 1-18, September.
    12. Hahn, Lukas, 2017. "Multi-year non-life insurance risk of dependent lines of business in the multivariate additive loss reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 71-81.
    13. Yanwei Zhang & Vanja Dukic, 2013. "Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 891-919, December.

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