Modified Munich Chain-Ladder Method

Michael Merz and Mario V. Wüthrich
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Michael Merz: Faculty of Business Administration, University of Hamburg, 20146 Hamburg, Germany
Mario V. Wüthrich: ETH Zurich, RiskLab, Department of Mathematics, 8092 Zurich, Switzerland

Risks, 2015, vol. 3, issue 4, 1-23

Abstract: The Munich chain-ladder method for claims reserving was introduced by Quarg and Mack on an axiomatic basis. We analyze these axioms, and we define a modified Munich chain-ladder method which is based on an explicit stochastic model. This stochastic model then allows us to consider claims prediction and prediction uncertainty for the Munich chain-ladder method in a consistent way.

Keywords: Munich chain-ladder method; claims reserving; prediction uncertainty; mean-square error of prediction; multivariate Gaussian model; paid and incurred claims (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2015
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