Centro de Documentacion de Fundación MAPFRE - A Bifurcation approach for attritional and large losses in chain ladder calculations

MAP20140013869

A Bifurcation approach for attritional and large losses in chain ladder calculations / Ulrich Riegel

Sumario: 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

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 06/01/2014 Volumen 44 Número 1 - enero 2014

I. Título.