The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach

Alois Gisler

doi:10.2143/AST.36.2.2017939

Abstract

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We derive the estimation error in a Bayesian framework and discuss the estimates of Mack and of Buchwalder, Bühlmann, Merz and Wüthrich (BBMW) from a Bayesian point of view.

References

[1] Buchwalder, M., Bühlmann, H., Merz, M., Wüthrich, M.V. (2006) The Mean Square Error of Prediction in the Chain Ladder Reserving Method, ASTIN-Bulletin 00(0), 000–000.Google Scholar

[2] Mack, T. (1993) Distribution-free calculation of the standard error of Chain ladder reserve estimates. ASTIN Bulletin 23(2), 213–225.CrossRef Google Scholar

[3] Mack, T., Quarg, G., Braun, Ch. (2006) The Mean Square Error of Prediction in the Chain Ladder Reserving Method – a Comment. ASTIN Bulletin 00(0), 000–000.Google Scholar

Crossref Citations

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Merz, Michael and Wüthrich, Mario V. 2007. Mittlerer quadratischer Prognosefehler bei der Prognose des Abwicklungsergebnisses mittels der Chain-Ladder-Methode. Zeitschrift für die gesamte Versicherungswissenschaft, Vol. 96, Issue. S1, p. 207.

Merz, M. and Wüthrich, M. V. 2007. Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-off Triangles. Annals of Actuarial Science, Vol. 2, Issue. 1, p. 25.

Wüthrich, Mario V. 2008. Prediction error in the chain ladder method. Insurance: Mathematics and Economics, Vol. 42, Issue. 1, p. 378.

Gisler, Alois and Wüthrich, Mario V. 2008. Credibility for the Chain Ladder Reserving Method. ASTIN Bulletin, Vol. 38, Issue. 2, p. 565.

Merz, Michael and Wüthrich, Mario V. 2008. Prediction Error of the Multivariate Chain Ladder Reserving Method. North American Actuarial Journal, Vol. 12, Issue. 2, p. 175.

Wüthrich, Mario V. Merz, Michael and Bühlmann, Hans 2008. Bounds on the estimation error in the chain ladder method. Scandinavian Actuarial Journal, Vol. 2008, Issue. 4, p. 283.

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The Estimation Error in the Chain-Ladder Reserving Method: A Bayesian Approach

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