A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS. Issue 1 (13th November 2013)
- Record Type:
- Journal Article
- Title:
- A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS. Issue 1 (13th November 2013)
- Main Title:
- A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS
- Authors:
- Riegel, Ulrich
- Abstract:
- <abstract abstract-type="normal"> <title>Abstract</title> <p>We introduce a stochastic model for the development of attritional and large claims in long-tail lines of business and present a corresponding "chain ladder-like" IBNR method which allows the use of claims payment data for attritional and claims incurred data for large losses. We derive formulas for the mean squared error of prediction and apply the method to a German motor third party liability portfolio.</p> </abstract>
- Is Part Of:
- ASTIN bulletin. Volume 44:Issue 1(2014)
- Journal:
- ASTIN bulletin
- Issue:
- Volume 44:Issue 1(2014)
- Issue Display:
- Volume 44, Issue 1 (2014)
- Year:
- 2014
- Volume:
- 44
- Issue:
- 1
- Issue Sort Value:
- 2014-0044-0001-0000
- Page Start:
- 127
- Page End:
- 172
- Publication Date:
- 2013-11-13
- Subjects:
- Insurance -- Mathematics -- Periodicals
Risk (Insurance) -- Mathematics -- Periodicals
368.01 - Journal URLs:
- http://journals.cambridge.org/action/displayBackIssues?jid=ASB ↗
http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST ↗
http://www.casact.org/library/astin/ ↗ - DOI:
- 10.1017/asb.2013.27 ↗
- Languages:
- English
- ISSNs:
- 0515-0361
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 3744.xml