An investigation into stochastic claims reserving models and the chain-ladder technique. (English) Zbl 1072.62654


62P05 Applications of statistics to actuarial sciences and financial mathematics
Full Text: DOI


[1] England, P.D.; Verrall, R.J., Analytic and bootstrap estimates of prediction error in claims reserving, Insurance: mathematics and economics, 26, 281-293, (1999) · Zbl 0944.62093
[2] Mack, T., Distribution-free calculation of the standard error of chain ladder reserve estimates, ASTIN bulletin, 23, 213-225, (1993)
[3] Renshaw, A.E.; Verrall, R.J., A stochastic model underlying the chain-ladder technique, British actuarial journal, 14, 903-923, (1998)
[4] Taylor, G.C., Separation of inflation and other effects from the distribution of non-life insurance claim delays, ASTIN bulletin, 9, 217-230, (1977)
[5] Verbeek, H.G., An approach to the analysis of claims experience in motor liability excess-of-loss reinsurance, ASTIN bulletin, 6, 195-203, (1972)
[6] Verrall, R.J., Chain ladder and maximum likelihood, Journal of the institute of actuaries, 118, 489-499, (1991)
[7] Verrall, R.J., 1996. Claims Reserving. Notes for a Short Course presented at City University.
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.