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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

    as
    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. 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.
    2. 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.
    3. 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.
    4. D Kuang & Bent Nielsen & J P Nielsen, 2013. "The Geometric Chain-Ladder," Economics Papers 2013-W11, Economics Group, Nuffield College, University of Oxford.
    5. 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.
    6. 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.
    7. Marie Michaelides & Mathieu Pigeon & H'el`ene Cossette, 2022. "Individual Claims Reserving using Activation Patterns," Papers 2208.08430, arXiv.org, revised Aug 2023.
    8. Schmidt, Klaus D., 2002. "A note on the overdispersed Poisson family," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 21-25, February.
    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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