Stochastic Claims Reserving in General Insurance

By P. England, Richard J. Verrall. British Actuarial Journal, 2002

492 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/36f633a97ba68e78bb41ec15234e550be4df2df8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Enrique Alba
2. Mario V. Wüthrich
3. Peng Shi
4. Sanjib Basu
5. G. Meyers
6. Alois Gisler
7. Jens Perch Nielsen
8. Bent Nielsen

In Economics and Econometrics

1. Enrique Alba
2. Alois Gisler
3. Mario V. Wüthrich
4. Peng Shi
5. Sanjib Basu
6. G. Meyers
7. Gareth William Peters
8. Pavel V. Shevchenko

In Management Science and Operations Research

1. Enrique Alba
2. Alois Gisler
3. Mario V. Wüthrich
4. Peng Shi
5. Sanjib Basu
6. G. Meyers
7. Gareth William Peters
8. Pavel V. Shevchenko

Citations in the corpus

• Micro-level stochastic loss reserving for general insurance (2012, unknown): “England and Verrall (2002) and Wuthrich and Merz (2008) give overviews of techniques for loss reserving based on triangles.”
• Forecasting with the age-period-cohort model and the extended chain-ladder model (2008, methodology): “…studies have been discussed by Keiding (1990), whereas the extended chainladder models used in non-life insurance were introduced by Zehnwirth (1994) and Barnett & Zehnwirth (2000) as an extention of the classical chain-ladder model discussed by for instance England & Verrall (2002).”
• A Bayesian Log-Normal Model for Multivariate Loss Reserving (2012, methodology): “Another approach based on a log-normal distribution is the Hoerl curve (see England and Verrall 2002).”
• Chain-Ladder as Maximum Likelihood Revisited (2009, methodology): “Kremer (1985, p. 130), Mack (1991) and England and Verrall (2002) identify by ∑k j=1Bj = D = 1.”
• Prediction of RBNS and IBNR Claims using Claim Amounts and Claim Counts (2010, background): “Wüthrich and Merz (2008), England and Verrall (2002) and Taylor (1986) provide useful overviews of stochastic claims reserving.”
• Credibility for the Chain Ladder Reserving Method (2008, methodology): “More details on these models and a comparison of other models related to the chain ladder method can be found in Mack [9], England and Verrall [5], Mack and Venter [12], Hess and Schmidt [7], and Mack [11].”
• Identification of the age-period-cohort model and the extended chain ladder model (2008, methodology): “Holford (1983) therefore used generalized inverses when solving maximum-likelihood equations, remarking that the choice of generalized inverse can have a large effect on the parameter estimates.”
• Model Uncertainty in Claims Reserving within Tweedie's Compound Poisson Models (2009, methodology): “For an overview, see Wüthrich and Merz (2008) and England and Verrall (2002).”
• Bayesian Estimation of Outstanding Claim Reserves (2002, methodology): “More recently, Bayesian results are provided in England and Verrall (2002), notably for the Bornhuetter-Ferguson (B-F) technique.”
• Individual Loss Reserving with the Multivariate Skew Normal Model (2011, unknown): “A rich literature exists about those techniques and an overview can be found in England & Verrall (2002) or Wüthrich & Merz (2008).”