Download This PaperModified Munich Chain-Ladder Method
20 Pages Posted: 30 Aug 2014
Date Written: August 29, 2014
Abstract
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
Suggested Citation: Suggested Citation
Merz, Michael and Wuthrich, Mario V., Modified Munich Chain-Ladder Method (August 29, 2014). Swiss Finance Institute Research Paper No. 14-65. Available at SSRN: https://ssrn.com/abstract=2489289 or http://dx.doi.org/10.2139/ssrn.2489289
Register to save articles to
your library
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.
