Hostname: page-component-586b7cd67f-vdxz6 Total loading time: 0 Render date: 2024-11-22T22:58:05.716Z Has data issue: false hasContentIssue false

Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method

Published online by Cambridge University Press:  17 April 2015

Rights & Permissions [Opens in a new window]

Abstract

Image of the first page of this content. For PDF version, please use the ‘Save PDF’ preceeding this image.'
Type
Articles
Copyright
Copyright © ASTIN Bulletin 2006

References

Barnett, G. and Zehnwirth, B. (2000) Best Estimates for Reserves, CAS Proceedings, 245321.Google Scholar
Clark, D.R. (2003) LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Approach. CAS Forum (Fall): 4192.Google Scholar
Hachemeister, C. and Stanard, J. (1975) IBNR Claims Count Estimation With Static Lag Functions. Presented at 1975 ASTIN Colloquium, Portimao, Portugal.Google Scholar
Kremer, E. (1985) Einfuhrung in die Versicherungsmathematik, Vandenhoek & Ruprecht, Gottingen.Google Scholar
Mack, T. (1991) A simple parametric model for rating automobile insurance or estimating IBNR claims reserves. ASTIN Bulletin 21(1), 93109.CrossRefGoogle Scholar
Mack, T. (1994) Measuring the Variability of Chain Ladder Reserve Estimates, CAS Forum (Spring): 101182.Google Scholar
Murphy, D. (1994) Unbiased Loss Development Factors, CAS Proceedings LXXXI: 154222.Google Scholar
Renshaw, A. and Verrall, R.J. (1998) A Stochastic Model Underlying the Chain Ladder Technique. British Actuarial Journal 4, 90323.CrossRefGoogle Scholar
Venter, G. (1998) Testing the Assumptions of Age-to-Age Factors. CAS Proceedings, LXXXV: 80747.Google Scholar