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The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
| Content Provider | Semantic Scholar |
|---|---|
| Author | Braun, Christian Miquéias |
| Copyright Year | 2004 |
| Abstract | 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. |
| Starting Page | 399 |
| Ending Page | 423 |
| Page Count | 25 |
| File Format | PDF HTM / HTML |
| DOI | 10.1017/S0515036100013751 |
| Volume Number | 34 |
| Alternate Webpage(s) | http://www.actuaries.org/ASTIN/Colloquia/Bergen/Braun.pdf |
| Alternate Webpage(s) | http://www.actuaries.org/LIBRARY/ASTIN/vol34no2/399.pdf |
| Alternate Webpage(s) | https://doi.org/10.1017/S0515036100013751 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |