In the present paper we analyse how the estimators from Merz u. Wüthrich (2007) could be generalised to the case of N correlated run-off triangles. The simultaneous view on N correlated subportfolios is motivated by the fact, that in practice a run-off portfolio often has to be divided in...

The Munich chain-ladder reserving method was introduced on an axiomatic basis. We analyze these axioms and we define a modified Munich chain-ladder reserving method which is based on an explicit stochastic model. This stochastic model then allows to consider claims prediction and prediction...

We give a rigorous definition of best-estimate reserves for insurance liabilities in a general multiperiod financial market setting. In this general multiperiod financial market setting we describe payoff spaces and optimal dynamic hedging strategies. Based on this optimal dynamic hedging...

It is well known that credibility theory in discrete time is closely related to the discrete technique of Kalman filtering. In this paper we show the close relationship between credibility theory and filter theory in discrete and continuous time as well as between credibility theory in a...