Prediction error in the chain ladder method

DOI10.1016/J.INSMATHECO.2007.05.002MaRDI QIDQ939374zbMATH OpenOpenAlexFDO

Authors Mario V. Wüthrich

Publication date 22 August 2008

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.05.002

zbMATH Keywords

chain ladder methodclaims reservingmean square error of prediction

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• Chain ladder and error propagation
• Prediction error of the expected claims development result in the chain ladder method
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
• Bounds on the estimation error in the chain ladder method

Cites work

• A course in credibility theory and its applications
• Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
• Premium liability risks: modeling small claims
• Solvency
• The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
• 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

Cited in

(10)

• Chain-ladder method and midyear loss reserving
• Prediction-correction method with BB step sizes
• Chain ladder and error propagation
• Prediction error in the overdispersed Poisson model for loss development triangles
• Bounds on the estimation error in the chain ladder method
• Prediction Error of the Multivariate Chain Ladder Reserving Method
• scientific article; zbMATH DE number 3849108 (Why is no real title available?)
• The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
• Accounting year effects modeling in the stochastic chain ladder reserving method
• Prediction error of the expected claims development result in the chain ladder method

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