Modified Munich Chain-Ladder Method
20 Pages Posted: 30 Aug 2014
Date Written: August 29, 2014
The Munich chain-ladder reserving method was introduced on an axiomatic basis. We analyze these axioms and we define a modified Munich chain-ladder reserving method which is based on an explicit stochastic model. This stochastic model then allows to consider claims prediction and prediction uncertainty for the Munich chain-ladder reserving method in a consistent way.
Keywords: Munich chain-ladder method, claims reserving, prediction uncertainty, mean square error of prediction, multivariate Gaussian model, claims paid and claims incurred
JEL Classification: G22, G13, G18, G38, D46, C59
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