Author:
Mack Thomas,Quarg Gerhard,Braun Christian
Abstract
We discuss some questionable points of the approach taken in the paper by Buchwalder, Bühlmann, Merz and Wüthrich and come to the conclusion that this approach does not yield an improvement of Mack’s original formula. The main reason is that the new approach disregards the negative correlation of the squares of the development factors. The same applies to the formula by Murphy (PCAS 1994).
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
30 articles.
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