Double chain ladder. By adding the information of reported count data to a classical triangle of reserving data, we derive a suprisingly simple method for forecasting IBNR and RBNS claims. A simple relationship between development factors allows to involve and then estimate the reporting and payment delay. Bootstrap methods provide prediction errors and make possible the inference about IBNR and RBNS claims, separately.

References in zbMATH (referenced in 18 articles , 1 standard article )

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  1. Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano: A mixture model for payments and payment numbers in claims reserving (2018)
  2. Lee, Y. K.; Mammen, E.; Nielsen, J. P.; Park, B. U.: In-sample forecasting: a brief review and new algorithms (2018)
  3. Margraf, Carolin; Elpidorou, Valandis; Verrall, Richard: Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data (2018)
  4. Meng, Shengwang; Gao, Guangyuan: Compound Poisson claims reserving models: extensions and inference (2018)
  5. Portugal, Luís; Pantelous, Athanasios A.; Assa, Hirbod: Claims reserving with a stochastic vector projection (2018)
  6. Wüthrich, Mario V.: Machine learning in individual claims reserving (2018)
  7. Hiabu, M.: On the relationship between classical chain ladder and granular reserving (2017)
  8. Bissantz, Nicolai; Dette, Holger; Hildebrandt, Thimo; Bissantz, Kathrin: Smooth backfitting in additive inverse regression (2016)
  9. Huang, Jinlong; Wu, Xianyi; Zhou, Xian: Asymptotic behaviors of stochastic reserving: aggregate versus individual models (2016)
  10. Kuang, D.; Nielsen, B.; Nielsen, J. P.: The geometric chain-ladder (2015)
  11. Lee, Young K.; Mammen, Enno; Nielsen, Jens P.; Park, Byeong U.: Asymptotics for in-sample density forecasting (2015)
  12. Mammen, Enno; Martínez Miranda, María Dolores; Nielsen, Jens Perch: In-sample forecasting applied to reserving and mesothelioma mortality (2015)
  13. Miranda, María Dolores Martínez; Nielsen, Jens Perch; Verrall, Richard; Wüthrich, Mario V.: Double chain ladder, claims development inflation and zero-claims (2015)
  14. Antonio, Katrien; Plat, Richard: Micro-level stochastic loss reserving for general insurance (2014)
  15. Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel: Individual loss reserving using paid-incurred data (2014)
  16. Martínez-Miranda, Maria Dolores; Nielsen, Jens Perch; Verrall, Richard: Double chain ladder and Bornhuetter-Ferguson (2013)
  17. Pigeon, Mathieu; Antonio, Katrien; Denuit, Michel: Individual loss reserving with the multivariate skew normal framework (2013)
  18. Martínez Miranda, Dolores María; Nielsen, Jens Perch; Verrall, Richard: Double chain ladder (2012)