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The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment
| Content Provider | Semantic Scholar |
|---|---|
| Author | Mack, Thomas Quarg, Gerhard Braun, Christian |
| Copyright Year | 2006 |
| Abstract | We discuss some questionable points of the approach taken in the paper by Buchwalder, Buhlmann, Merz and Wuthrich and come to the conclusion that this approach does not yield an improvement of Mack’s original formula. The main reason is that the new approach disregards the negative correlation of the squares of the development factors. The same applies to the formula by Murphy (PCAS 1994). |
| Starting Page | 543 |
| Ending Page | 552 |
| Page Count | 10 |
| File Format | PDF HTM / HTML |
| DOI | 10.1017/s051503610001463x |
| Alternate Webpage(s) | https://www.cambridge.org/core/services/aop-cambridge-core/content/view/AF6C3D22DC65D46877DE5DEF0ADB1183/S051503610001463Xa.pdf/mean_square_error_of_prediction_in_the_chain_ladder_reserving_method_a_comment.pdf |
| Alternate Webpage(s) | http://www.actuaries.org/LIBRARY/ASTIN/vol36no2/543.pdf |
| Alternate Webpage(s) | https://doi.org/10.1017/s051503610001463x |
| Volume Number | 36 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
