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Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates

Published online by Cambridge University Press:  29 August 2014

Thomas Mack
Thomas Mack*
Affiliation:
Munich Re, Munich
*
Münchener Rückversicherungs-Gesellschaft, Königinstrasse 107, D-80791 München
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Abstract

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A distribution-free formula for the standard error of chain ladder reserve estimates is derived and compared to the results of some parametric methods using a numerical example.

Keywords

Claims reservingchain ladderstandard error
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 23 , Issue 2 , November 1993 , pp. 213 - 225
Copyright
Copyright © International Actuarial Association 1993

References

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