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Stochastic Claims Reserving Manual: Advances in Dynamic Modeling

Mario V. Wuthrich and Michael Merz
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Mario V. Wuthrich: ETH Zurich and Swiss Finance Institute
Michael Merz: University of Hamburg

No 15-34, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

Abstract: These notes are strongly motivated by practitioners who have been seeking for advise in stochastic claims reserving modeling under Solvency 2 and under the Swiss Solvency Test. There have been tremendous developments since the publication of our first book Stochastic Claims Reserving Methods in Insurance in 2008. Particularly the new solvency guidelines have added a dynamic component to claims reserving which has not been present before. This new viewpoint has motivated numerous new developments, for instance, the claims development result and the risk margin were introduced. The present text considers these new aspects, not treated in our previous book, and it should be viewed as completion to our first book.

Keywords: Claims reserving; non-life insurance run-off; chain-ladder method; Bornhuetter-Ferguson method; claims modeling; claims development result; risk margin; run-off uncertainty; conditional mean square error of prediciton (search for similar items in EconPapers)
JEL-codes: G22 C11 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ias
Date: 2015-08
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