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Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-off Triangles
| Content Provider | Semantic Scholar |
|---|---|
| Author | Merz, Michael Wüthrich, Mario V. |
| Copyright Year | 2007 |
| Abstract | In Buchwalder et al . (2006) we revisited Mack's (1993) and Murphy's (1994) 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 in the special case N = 2 from the estimate given by Braun (2004). We discuss the differences between the estimates. |
| Starting Page | 25 |
| Ending Page | 50 |
| Page Count | 26 |
| File Format | PDF HTM / HTML |
| DOI | 10.1017/s1748499500000245 |
| Volume Number | 2 |
| Alternate Webpage(s) | http://www.math.ethz.ch/~wueth/Papers/MeWu_Version2.pdf |
| Alternate Webpage(s) | https://core.ac.uk/download/pdf/85223356.pdf |
| Alternate Webpage(s) | https://doi.org/10.1017/s1748499500000245 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |