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The correlated chain-ladder method for reserving in case of correlated claims developments

Die korrellierte Chain-Ladder-Methode für abhängige Schadenentwicklungen

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Blätter der DGVFM

Summary

A handy forecasting method for calculating loss reserves in case of correlated claims developments is given. It is in some sense a further-development of the classical chain ladder method to the context of correlated claims developments.

Zusammenfassung

Eine handliche Vorhersagemethode zur Berechnung von Schadenreserven im Falle von korrellierten Schadenabwicklungen wird gegeben. Sie ist in gewissem Sinne eine Weiterentwicklung der klassischen Claims-Ladder-Methode auf den Kontext von korrellierten Schadenentwicklungen.

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Authors and Affiliations

  1. Hamburg

    Erhard Kremer

Authors
  1. Erhard Kremer
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Correspondence to Erhard Kremer.

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Kremer, E. The correlated chain-ladder method for reserving in case of correlated claims developments. Blätter DGVFM 27, 315–322 (2005). https://doi.org/10.1007/BF02808313

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  • DOI: https://doi.org/10.1007/BF02808313

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