The prediction of the outstanding loss liabilities for a non-life run-off portfolio as well as the quantification of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More...

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...

In this paper we show how to quantify the uncertainty in the difference between the best estimate for the ultimate claim viewed at the beginning and at the end of one year. A second aspect in this paper is how bootstrapping techniques can be used to simulate these uncertainty for several...

This paper considers the algorithmic implementation of the heteroskedasticity and autocorrelation consistent (HAC) estimation problem for covariance matrices of parameter estimators. We introduce a new algorithm, mainly based on the fast Fourier transform, and show via computer simulation that...

In this paper we make an empirical analysis of a wide range of claims development trapezoids following Benford's law. In particular we determine Benfors's law for different characteristic factors depending on claims development triangles/trapezoids. These characteristic factors are the...

In this paper we use a wide range of development trapezoids for an analysis of ultimate claims reserve. Thereby, the ultimate claims reserve will be calculated using the classical Chain-Ladder reserving method on the one side and, on the other side, the calculation of the ultimate claims reserve...