munich chain ladder: a reserving method that … chain ladder: a reserving method that reduces the...

Munich Chain Ladder: A ReservingMethod that Reduces the Gap

between IBNR Projections Based onPaid Losses and IBNR Projections

Based on Incurred Lossesby Gerhard Quarg and Thomas Mack

“Munich Chain Ladder” by Dr. Quarg and Dr. Mack isbeing reprinted in Variance to give this important paperwider visibility within the actuarial community. The edi-tors of Variance invited the authors to submit their paperfor republication because we believe that the techniquesdescribed in their work should be known to all actuariesdoing reserve analysis. We also hope to stimulate furtherresearch in this area. This paper is reprinted from Blätterder Deutschen Gesellschaft für Versicherungs- und Finanz-mathematik, volume 26, number 4, 2004, pages 597—630.We thank the editors of that journal and the authors forallowing Variance to publish the paper.

KEYWORDS

Reserving methods, chain ladder, loss development, reconciliation of paidand incurred projections

266 CASUALTY ACTUARIAL SOCIETY VOLUME 2/ISSUE 2

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Munich Chain Ladder

VOLUME 2/ISSUE 2 CASUALTY ACTUARIAL SOCIETY 267

Variance Advancing the Science of Risk


Munich Chain Ladder


munich chain ladder: a reserving method that … chain ladder: a reserving method that reduces the...

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