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


MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
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[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.
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