The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment

DOI10.2143/AST.36.2.2017937zbMath1162.91425OpenAlexW4246526123MaRDI QIDQ3632851

Thomas Mack, Gerhard Quarg, Unnamed Author

Publication date: 15 June 2009

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

Full work available at URL: https://doi.org/10.2143/ast.36.2.2017937

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items (12)

Estimation error and bootstrapping in the chain-ladder model of Mack ⋮ 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 ⋮ Robust bootstrap procedures for the chain-ladder method ⋮ Asymptotic theory for Mack's model ⋮ Prediction error in the chain ladder method ⋮ A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS ⋮ Bounds on the estimation error in the chain ladder method ⋮ Uncertainty of the claims development result in the chain ladder method ⋮ THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED ⋮ Prediction of outstanding payments in a Poisson cluster model ⋮ Prediction Error of the Multivariate Chain Ladder Reserving Method ⋮ A Robustification of the Chain-Ladder Method

Cites Work

• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)

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