Munich Chain Ladder: A Reserving Method that Reduces the Gap between IBNR Projections Based on Paid Losses and IBNR Projections Based on Incurred Losses

By Gerhard Quarg, Thomas Mack

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Abstract

“Munich Chain Ladder” by Dr. Quarg and Dr. Mack is being reprinted in Variance to give this important paper wider visibility within the actuarial community. The editors of Variance invited the authors to submit their paper for republication because we believe that the techniques described in their work should be known to all actuaries doing reserve analysis. We also hope to stimulate further research in this area. This paper is reprinted from Blätter der Deutschen Gesellschaft für Versicherungs- und Finanzmathematik, volume 26, number 4, 2004, pages 597—630. We thank the editors of that journal and the authors for allowing Variance to publish the paper.

Keywords: Reserving methods, chain ladder, loss development, reconciliation of paid and incurred projections

Citation

Quarg, Gerhard, and Thomas Mack, "Munich Chain Ladder: A Reserving Method that Reduces the Gap between IBNR Projections Based on Paid Losses and IBNR Projections Based on Incurred Losses," Variance 2:2, 2008, pp. 266-299.

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Mission Statement

Variance (ISSN 1940-6452) is a peer-reviewed journal published by the Casualty Actuarial Society to disseminate work of interest to casualty actuaries worldwide. The focus of Variance is original practical and theoretical research in casualty actuarial science. Significant survey or similar articles are also considered for publication. Membership in the Casualty Actuarial Society is not a prerequisite for submitting papers to the journal and submissions by non-CAS members is encouraged.