Chain ladder and error propagation

DOI10.1017/ASB.2016.9MaRDI QIDQ4563769zbMATH OpenOpenAlexFDO

Authors Ancus Röhr

Publication date 4 June 2018

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/asb.2016.9

zbMATH Keywords

chain ladderclaims development resultMack error formulamean squared prediction errorsolvency

Mathematics Subject Classification ID

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

Recommendations

• Prediction error in the chain ladder method
• Prediction error of the expected claims development result in the chain ladder method
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• Bounds on the estimation error in the chain ladder method
• Chain Ladder Prediction and Asset Liability Management

Cites work

• A loss reserving method for incomplete claim data
• Cost-of-capital margin for a general insurance liability runoff
• Prediction error in the overdispersed Poisson model for loss development triangles
• Recursive credibility formula for chain ladder factors and the claims development result
• Stochastic claims reserving methods in insurance
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
• The Prediction Error of Bornhuetter/Ferguson

Cited in

(18)

• On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
• Explicit moments for a class of micro-models in non-life insurance
• The collective reserving model
• Prediction error of the expected claims development result in the chain ladder method
• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor
• Bounds on the estimation error in the chain ladder method
• The Prediction Error of Bornhuetter/Ferguson
• The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
• A generalized loss ratio method dealing with uncertain volume measures
• The reserve uncertainties in the chain ladder model of Mack revisited
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• scientific article; zbMATH DE number 3195679 (Why is no real title available?)
• Double Chain Ladder and Bornhuetter-Ferguson
• Chain-ladder method and midyear loss reserving
• Prediction error in the overdispersed Poisson model for loss development triangles
• Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting
• Estimation error and bootstrapping in the chain-ladder model of Mack
• Prediction error in the chain ladder method

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