A Bayesian Internal Model for Reserve Risk: An Extension of the Correlated Chain Ladder
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- England, Peter & Verrall, Richard, 1999. "Analytic and bootstrap estimates of prediction errors in claims reserving," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 281-293, December.
- Michel Dacorogna & Alessandro Ferriero & David Krief, 2018. "One-Year Change Methodologies for Fixed-Sum Insurance Contracts," Risks, MDPI, vol. 6(3), pages 1-29, July.
- 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.
- Ioannis Ntzoufras & Petros Dellaportas, 2002. "Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(1), pages 113-125.
- Peters, Gareth W. & Targino, Rodrigo S. & Wüthrich, Mario V., 2017. "Full Bayesian analysis of claims reserving uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 41-53.
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Keywords
Bayesian models; stochastic claims reserving; claims development results;All these keywords.
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