The reserve uncertainties in the chain ladder model of Mack revisited (Q4972125)
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scientific article; zbMATH DE number 7135580
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| English | The reserve uncertainties in the chain ladder model of Mack revisited |
scientific article; zbMATH DE number 7135580 |
Statements
THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED (English)
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22 November 2019
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claims reserving
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distribution free chain-ladder model
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Bayesian chain-ladder model
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conditional mean square error of prediction
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ultimate run-off uncertainty
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one-year run-off uncertainties
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Mack's formula
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Wüthrich-Merz formulas
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cost of capital loading
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market value margin
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0.8581833839416504
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0.8532409071922302
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0.8441858291625977
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0.840026319026947
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0.8367984890937805
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