Multivariate chain-ladder


Pröhl, Carsten ; Schmidt, Klaus D.


URL: https://www.math.tu-dresden.de/sto/schmidt/dsvm/ds...
Document Type: Working paper
Year of publication: 2005
The title of a journal, publication series: Dresdner Schriften zur Versicherungsmathematik
Volume: 2005,3
Place of publication: Dresden
Publishing house: Institut für Mathematische Stochastik, Technische Universität Dresden
ISSN: 0946-4727
Publication language: English
Institution: School of Business Informatics and Mathematics > Mathematik (Seniorprofessur) (Schmidt, K.D. 2018-)
Subject: 510 Mathematics
Abstract: In the present paper we propose a multivariate version of the chain–ladder method. The multivariate chain–ladder method is based on a stochastic model which is a multivariate version of the model of Schnaus and extends the univariate model of Mack and the bivariate model of Braun. It is suitable for a portfolio consisting of several subportfolios with a certain dependence structure and it resolves in some sense the problem of non–additivity of the univariate chain–ladder method.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.




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Pröhl, Carsten ; Schmidt, Klaus D. (2005) Multivariate chain-ladder. Dresdner Schriften zur Versicherungsmathematik Dresden 2005,3 [Working paper]


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