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Loss prediction based on run-off triangles

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  • Klaus Schmidt

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  • 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.
    • Handle: RePEc:spr:alstar:v:96:y:2012:i:2:p:265-310
    DOI: 10.1007/s10182-011-0183-0
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    References listed on IDEAS

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    1. 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.
    2. Schmidt Klaus D., 2000. "Statistical Decision Problems And Linear Prediction Under Vague Prior Information," Statistics & Risk Modeling, De Gruyter, vol. 18(4), pages 429-442, April.
    3. Hesselager, Ole & Witting, Thomas, 1988. "A Credibility Model with Random Fluctuations in Delay Probabilities for the Prediction of IBNR Claims(*)," ASTIN Bulletin, Cambridge University Press, vol. 18(1), pages 79-90, April.
    4. 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.
    5. Björkwall, Susanna & Hössjer, Ola & Ohlsson, Esbjörn, 2010. "Bootstrapping the Separation Method in Claims Reserving," ASTIN Bulletin, Cambridge University Press, vol. 40(2), pages 845-869, November.
    6. Ajne, Björn, 1994. "Additivity of Chain-Ladder Projections," ASTIN Bulletin, Cambridge University Press, vol. 24(2), pages 311-318, November.
    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. Enrique de Alba, 2002. "Bayesian Estimation of Outstanding Claim Reserves," North American Actuarial Journal, Taylor & Francis Journals, vol. 6(4), pages 1-20.
    9. Greg Taylor & Gráinne McGuire, 2007. "A Synchronous Bootstrap to Account for Dependencies Between Lines of Business in the Estimation of Loss Reserve Prediction Error," North American Actuarial Journal, Taylor & Francis Journals, vol. 11(3), pages 70-88.
    10. 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.
    11. Klaus D. Schmidt, 1998. "Bayesian models in actuarial mathematics," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 48(1), pages 117-146, September.
    12. De Vylder, F., 1982. "Estimation of IBNR claims by credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 1(1), pages 35-40, January.
    13. Kathrin Kloberdanz & Klaus Schmidt, 2009. "Loss prediction in a linear model under a linear constraint," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(2), pages 205-220, June.
    14. Mack, Thomas, 2000. "Credible Claims Reserves: the Benktander Method," ASTIN Bulletin, Cambridge University Press, vol. 30(2), pages 333-347, November.
    15. Verrall, R.J. & England, P.D., 2005. "Incorporating expert opinion into a stochastic model for the chain-ladder technique," Insurance: Mathematics and Economics, Elsevier, vol. 37(2), pages 355-370, October.
    16. Mack, Thomas, 1990. "Improved estimation of IBNR claims by credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 9(1), pages 51-57, March.
    17. Schnieper, R., 1991. "Separating True IBNR and IBNER Claims1," ASTIN Bulletin, Cambridge University Press, vol. 21(1), pages 111-127, April.
    18. Gareth W. Peters & Pavel V. Shevchenko & Mario V. Wuthrich, 2009. "Model uncertainty in claims reserving within Tweedie's compound Poisson models," Papers 0904.1483, arXiv.org.
    19. Eichenauer, Jurgen & Lehn, Jurgen & Rettig, Stefan, 1988. "A gamma-minimax result in credibility theory," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 49-57, January.
    20. 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.
    21. Verrall, R. J., 1991. "On the estimation of reserves from loglinear models," Insurance: Mathematics and Economics, Elsevier, vol. 10(1), pages 75-80, March.
    22. Verbeek, H. G., 1972. "An approach to the analysis of claims experience in motor liability excess of loss reinsurance," ASTIN Bulletin, Cambridge University Press, vol. 6(3), pages 195-202, May.
    23. 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.
    24. Doray, Louis G., 1996. "UMVUE of the IBNR reserve in a lognormal linear regression model," Insurance: Mathematics and Economics, Elsevier, vol. 18(1), pages 43-57, May.
    25. 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.
    26. Kathrin Kloberdanz & Klaus Schmidt, 2008. "Prediction in the linear model under a linear constraint," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 92(2), pages 207-215, May.
    27. Taylor, G. C., 1977. "Separation of Inflation and other Effects from the Distribution of Non-Life Insurance Claim Delays," ASTIN Bulletin, Cambridge University Press, vol. 9(1-2), pages 219-230, January.
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