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A comparison of stochastic models that reproduce chain ladder reserve estimates

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  • Mack, Thomas
  • Venter, Gary

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  • 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.
    • Handle: RePEc:eee:insuma:v:26:y:2000:i:1:p:101-107
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    References listed on IDEAS

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    1. Mack, Thomas, 1991. "A Simple Parametric Model for Rating Automobile Insurance or Estimating IBNR Claims Reserves," ASTIN Bulletin, Cambridge University Press, vol. 21(1), pages 93-109, April.
    2. Mack, Thomas, 1993. "Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates," ASTIN Bulletin, Cambridge University Press, vol. 23(2), pages 213-225, November.
    3. 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.
    4. Kremer, Erhard, 1984. "A class of autoregressive models for predicting the final claims amount," Insurance: Mathematics and Economics, Elsevier, vol. 3(2), pages 111-119, April.
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    Citations

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    Cited by:

    1. Wüthrich, Mario V., 2013. "Challenges with non-informative gamma priors in the Bayesian over-dispersed Poisson reserving model," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 352-358.
    2. Arthur Charpentier & Mathieu Pigeon, 2016. "Macro vs. Micro Methods in Non-Life Claims Reserving (an Econometric Perspective)," Risks, MDPI, vol. 4(2), pages 1-18, May.
    3. Zhao, Xiao Bing & Zhou, Xian & Wang, Jing Long, 2009. "Semiparametric model for prediction of individual claim loss reserving," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 1-8, August.
    4. 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.
    5. Marie Michaelides & Mathieu Pigeon & H'el`ene Cossette, 2022. "Individual Claims Reserving using Activation Patterns," Papers 2208.08430, arXiv.org, revised Aug 2023.
    6. 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.
    7. Schmidt, Klaus D., 2002. "A note on the overdispersed Poisson family," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 21-25, February.
    8. D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
    9. Nils Engler & Filip Lindskog, 2023. "Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting," Papers 2310.12056, arXiv.org.
    10. 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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