Uncertainty of the claims development result in the chain ladder method

DOI10.1080/03461230801979732zbMath1224.91096OpenAlexW2082048266MaRDI QIDQ3077727

Michael Merz, Natalia Lysenko, Mario V. Wüthrich

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230801979732

zbMATH Keywords

chain ladder methodSolvency IInon-life insuranceclaims reservingmean square error of prediction

Mathematics Subject Classification ID

Related Items (5)

Robust bootstrap procedures for the chain-ladder method ⋮ The one-year non-life insurance risk ⋮ On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins ⋮ Solvency need resulting from reserving risk in a ORSA context ⋮ THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED

Cites Work

• Bounds on the estimation error in the chain ladder method
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
• Unnamed Item

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