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A comparison of models for the chain-ladder method

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  • Hess, Klaus Th.
  • Schmidt, Klaus D.

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  • 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.
    • Handle: RePEc:eee:insuma:v:31:y:2002:i:3:p:351-364
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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 & 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.
    3. 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.
    4. Schmidt, Klaus D., 2002. "A note on the overdispersed Poisson family," Insurance: Mathematics and Economics, Elsevier, vol. 30(1), pages 21-25, February.
    5. Schmidt, Klaus D., 1997. "Non-optimal prediction by the chain ladder method," Insurance: Mathematics and Economics, Elsevier, vol. 21(1), pages 17-24, October.
    6. 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.
    7. Verrall, R. J. & England, P. D., 2000. "Comments on: "A comparison of stochastic models that reproduce chain ladder reserve estimates", by Mack and Venter," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 109-111, February.
    8. 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.
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    Cited by:

    1. 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.
    2. 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.

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