The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor

From MaRDI portal
Publication:2867270

DOI10.2143/AST.29.2.504622zbMath1277.62256OpenAlexW2037511541MaRDI QIDQ2867270

Thomas Mack

Publication date: 10 December 2013

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

Full work available at URL: https://doi.org/10.2143/ast.29.2.504622



Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (20)

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 modelsA hierarchical reserving model for reported non-life insurance claimsClaims Reserving with a Stochastic Vector ProjectionParameter uncertainty and reserve risk under Solvency IIBridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claimsProvisioning against borrowers default riskIndividual claims reserving using activation patternsGeneralized log-normal chain-ladderCredibility in Loss ReservingOn the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk marginsINDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORKSTOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTSMicro-level parametric duration-frequency-severity modeling for outstanding claim paymentsThe Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)Advantages and disadvantages of loss reserving methods in non-life insuranceThe Prediction Error of Bornhuetter/FergusonThe Prediction Error of the Chain Ladder Method Applied to Correlated Run-off TrianglesA non-convex regularization approach for stable estimation of loss development factorsPrediction of outstanding payments in a Poisson cluster modelFUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING




This page was built for publication: The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor