The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles-Reference-Cited by-同舟云学术

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

Published:2004-11 Issue:2 Volume:34 Page:399-423
ISSN:0515-0361
Container-title:ASTIN Bulletin
language:en
Short-container-title:ASTIN Bull.

Author:

Braun Christian

Abstract

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.

Publisher

Cambridge University Press (CUP)

Subject

Economics and Econometrics,Finance,Accounting

Reference8 articles.

1. Schadenversicherungsmathematik;Mack,2002

2. The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor

3. Correlation and the Aggregation of Unpaid Loss Distributions;Brehm;CAS Forum Fall,2002

4. Additivity of Chain-Ladder Projections

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