Institut für Mathematische Stochastik, Technische Universität Dresden
Abstract
In the present paper we propose a multivariate version of the chain–ladder method. The multivariate chain–ladder method is based on a stochastic model which is a multivariate version of the model of Schnaus and extends the univariate model of Mack and the bivariate model of Braun. It is suitable for a portfolio consisting of several subportfolios with a certain dependence structure and it resolves in some sense the problem of non–additivity of the univariate chain–ladder method
