Estimation error and bootstrapping in the chain-ladder model of Mack

DOI10.1007/s13385-020-00241-2zbMath1476.91127OpenAlexW3086648353MaRDI QIDQ825302

Alois Gisler

Publication date: 17 December 2021

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-020-00241-2

zbMATH Keywords

claims reserving\textit{conditional} mean square error of predictionBBMW-formuladistribution free chain-ladder modelMack's formula

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Related Items (1)

Asymptotic theory for Mack's model

Cites Work

• 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
• 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 Mean Square Error of Prediction in the Chain Ladder Reserving Method – Final Remark
• The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach
• CHAIN LADDER AND ERROR PROPAGATION
• THE RESERVE UNCERTAINTIES IN THE CHAIN LADDER MODEL OF MACK REVISITED

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