THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED

DOI10.1017/asb.2019.18zbMath1427.91231OpenAlexW2954735223MaRDI QIDQ4972125

Alois Gisler

Publication date: 22 November 2019

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/asb.2019.18

zbMATH Keywords

conditional mean square error of predictionclaims reservingdistribution free chain-ladder modelMack's formulamarket value marginBayesian chain-ladder modelcost of capital loadingone-year run-off uncertaintiesultimate run-off uncertaintyWüthrich-Merz formulas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Related Items (5)

Estimation error and bootstrapping in the chain-ladder model of Mack ⋮ Dispersion modelling of outstanding claims with double Poisson regression models ⋮ Asymptotic theory for Mack's model ⋮ THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED ⋮ The 1-year premium risk

Cites Work

• Unnamed Item
• Addendum to: ``The multi-year non-life insurance risk in the additive reserving model: Quantification of multi-year non-life insurance risk in chain ladder reserving models
• Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
• Uncertainty of the claims development result in the chain ladder method
• Over-Dispersed Age-Period-Cohort Models
• 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
• The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
• CHAIN LADDER AND ERROR PROPAGATION
• THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED

This page was built for publication: THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED