Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting

DOI10.1017/ASB.2024.11MaRDI QIDQ6556602zbMATH OpenFDO

Authors Nils Engler, Filip Lindskog

Publication date 17 June 2024

Published in ASTIN Bulletin (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1017/ASB.2024.11

zbMATH Keywords

chain ladderclaims reservinglarge exposure asymptotics

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Review text

The article deals with the convergence (a.s. and in distribution) of certain sequences of random variables. The main results consist of Theorems 1--5. According to the abstract ``for a sequence of compound Poisson loss models indexed by exposure (e.g., number of contracts), we show that the chain ladder predictor and Mack's estimator of conditional mean squared error of prediction can be derived by considering large exposure asymptotics. Hence, quantifying chain ladder prediction uncertainty can be done with Mack's estimator without relying on the validity of the model assumptions of the distribution-free chain ladder.

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Cites work

• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• Chain ladder and error propagation
• Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
• Estimation error and bootstrapping in the chain-ladder model of Mack
• Non-life insurance mathematics. An introduction with the Poisson process
• Stochastic claims reserving methods in insurance
• Stopped Random Walks
• 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
• The multi-year non-life insurance risk in the additive loss reserving model
• The reserve uncertainties in the chain ladder model of Mack revisited

Cited in

(2)

• Approximations of multi-period liability values by simple formulas
• Claim reserving via inverse probability weighting: a micro-level chain-ladder method

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