Hostname: page-component-cd9895bd7-gbm5v Total loading time: 0 Render date: 2024-12-24T00:44:53.262Z Has data issue: false hasContentIssue false
  • English
  • Français

The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

Published online by Cambridge University Press:  17 April 2015

Christian Braun
Christian Braun*
Affiliation:
Munich Reinsurance Company, 80791 Munich Germany. E-mail: [email protected]
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.

Keywords

Chain LadderPrediction ErrorCorrelation of Run-offsSegmented Portfolio
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 2 , November 2004 , pp. 399 - 423
Copyright
Copyright © ASTIN Bulletin 2004

References

Ajne, B. (1994) Additivity of Chain-Ladder Projections. ASTIN Bulletin 24, 311–318.CrossRefGoogle Scholar
Brehm, P. (2002) Correlation and the Aggregation of Unpaid Loss Distributions, CAS Forum Fall 2002, 1–24.Google Scholar
Houltram, A. (2003) Reserving Judgement - Considerations Relevant to Insurance Liability Assessment Under GPS210, XIV General Insurance Seminar, Institute of Actuaries of Australia. Google Scholar
Kirschner, G., Kerley, C. and Isaacs, B. (2002) Two Approaches to Calculating Correlated Reserve Indications Across Multiple Lines of Business, CAS Forum Fall 2002, 211–246.Google Scholar
Mack, T. (1993) Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates. ASTIN Bulletin 23, 213–225.CrossRefGoogle Scholar
Mack, T. (2002) Schadenversicherungsmathematik, 2nd Edition, Verlag Versicherungswirtschaft e.V., Karlsruhe. Google Scholar
Mack, T. (1999) The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor. ASTIN Bulletin 29, 361–366.CrossRefGoogle Scholar
Reinsurance Association of America (2001) Historical Loss Development Study, Washington.Google Scholar