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The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
| Content Provider | Scilit |
|---|---|
| Author | Buchwalder, Markus Bühlmann, Hans Merz, Michael Wüthrich, Mario V. |
| Copyright Year | 2006 |
| Description | We revisit the famous Mack formula [2], which gives an estimate for the mean square error of prediction MSEP of the chain ladder claims reserving method: We define a time series model for the chain ladder method. In this time series framework we give an approach for the estimation of the conditional MSEP. It turns out that our approach leads to results that differ from the Mack formula. But we also see that our derivation leads to the same formulas for the MSEP estimate as the ones given in Murphy [4]. We discuss the differences and similarities of these derivations. |
| Related Links | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/2CCF0DAB65EC401635BE055D0BB27F88/S0515036100014628a.pdf/div-class-title-the-mean-square-error-of-prediction-in-the-chain-ladder-reserving-method-mack-and-murphy-revisited-div.pdf |
| Ending Page | 542 |
| Page Count | 22 |
| Starting Page | 521 |
| ISSN | 05150361 |
| e-ISSN | 17831350 |
| DOI | 10.1017/s0515036100014628 |
| Journal | ASTIN Bulletin |
| Issue Number | 2 |
| Volume Number | 36 |
| Language | English |
| Publisher | Cambridge University Press (CUP) |
| Publisher Date | 2006-11-01 |
| Access Restriction | Open |
| Subject Keyword | ASTIN Bulletin Mathematical Physics |
| Content Type | Text |
| Resource Type | Article |
| Subject | Finance Accounting Economics and Econometrics |
