The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
نویسندگان
چکیده
منابع مشابه
The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.
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In Buchwalder et al. [3] we have revisited Mack’s [7] and Murphy’s [9] estimates for the mean square error of prediction (MSEP) of the chain ladder claims reserving method. This was done using a time series model for the chain ladder method. In this paper we extend the time series model to determine an estimate for the MSEP of a portfolio of N correlated run-off triangles. This estimate differs...
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In the present paper we consider the claims reserving problem in a multivariate context, that is, we study the multivariate Chain-ladder (CL) method for a portfolio of N correlated run-off triangles based on multivariate age-to-age factors. This method allows for a simultaneous study of individual run-off subportfolios and facilitates the derivation of an estimator for the mean square error of ...
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Buchwalder et al. [2] have illustrated that there are different approaches for the derivation of an estimate for the estimation error in the chain ladder reserving method. In this paper we demonstrate that these approaches give estimates that are for typical parameters close to each other. This is done by proving upper and lower bounds.
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2004
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.34.2.505150