Asymptotic theory for Mack's model

DOI10.1016/J.INSMATHECO.2022.08.007MaRDI QIDQ2682989zbMATH OpenOpenAlexWikidataFDO

Authors Julia Steinmetz, Carsten Jentsch

Publication date 1 February 2023

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

Full work available at URL https://doi.org/10.1016/j.insmatheco.2022.08.007

zbMATH Keywords

chain ladder modelclaims reservingconditional limiting theorylimiting distributionMack's modelreserve risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Recommendations

• The reserve uncertainties in the chain ladder model of Mack revisited
• Generalized log-normal chain-ladder
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• Asymptotic consistency and inconsistency of the chain ladder
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models

Cites work

• Asymptotic consistency and inconsistency of the chain ladder
• Claims reserving in general insurance
• Estimation error and bootstrapping in the chain-ladder model of Mack
• Generalized log-normal chain-ladder
• Over-Dispersed Age-Period-Cohort Models
• Stochastic claims reserving methods in insurance
• 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 reserve uncertainties in the chain ladder model of Mack revisited
• Time series: theory and methods.
• Which stochastic model is underlying the chain ladder method?

Cited in

(9)

• Asymptotic consistency and inconsistency of the chain ladder
• Asymptotic behaviors of stochastic reserving: aggregate versus individual models
• The reserve uncertainties in the chain ladder model of Mack revisited
• Generalized log-normal chain-ladder
• Generalisation of Mack's formula for claims reserving with arbitrary exponents for the variance assumption
• Bootstrap consistency for the Mack bootstrap
• Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting
• Estimating the effective reproduction number of COVID-19 via the chain ladder method
• Conformal prediction for frequency-severity modeling

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