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

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

Mathematics Subject Classification ID

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 models ⋮ A hierarchical reserving model for reported non-life insurance claims ⋮ Claims Reserving with a Stochastic Vector Projection ⋮ Parameter uncertainty and reserve risk under Solvency II ⋮ Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims ⋮ Provisioning against borrowers default risk ⋮ Individual claims reserving using activation patterns ⋮ Generalized log-normal chain-ladder ⋮ Credibility in Loss Reserving ⋮ On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins ⋮ INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK ⋮ STOCHASTIC CLAIMS RESERVING VIA A BAYESIAN SPLINE MODEL WITH RANDOM LOSS RATIO EFFECTS ⋮ Micro-level parametric duration-frequency-severity modeling for outstanding claim payments ⋮ The 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 insurance ⋮ The Prediction Error of Bornhuetter/Ferguson ⋮ The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles ⋮ A non-convex regularization approach for stable estimation of loss development factors ⋮ Prediction of outstanding payments in a Poisson cluster model ⋮ FUNCTIONAL PROFILE TECHNIQUES FOR CLAIMS RESERVING

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