The ultimate prediction uncertainty in the chain-ladder model of Mack: An unbiased estimator

Author:

Siegenthaler Filippo

Publisher

Elsevier BV

Reference22 articles.

1. Best estimates for reserves;G Barnett;Proceedings of the Casualty Actuarial Society,1998

2. The mean square error of prediction in the chain ladder reserving method (Mack and Murphy Revisited);M Buchwalder;ASTIN Bulletin,2006

3. Quantification of multi-year non-life insurance risk in chain ladder reserving models;D Diers;Insurance: Mathematics and Economics,2016

4. Analytic and bootstrap estimates of prediction errors in claims reserving;P D England;Insurance: Mathematics and Economics,1999

5. On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins;P D England;Insurance: Mathematics and Economics,2019

Cited by 1 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Asymptotic theory for Mack's model;Insurance: Mathematics and Economics;2022-11

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