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Astin Bulletin
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Astin Bulletin
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The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment

The mean square error of prediction in the chain ladder reserving method: a comment
descriptionPublicationkeyboard_double_arrow_right Article 01 Nov 2006 English Publisher:Cambridge University Press (CUP)Journal:ASTIN Bulletin, volume 36, pages 543-552 (issn: 0515-0361, eissn: 1783-1350, Copyright policy )
Authors: Mack, Thomas; Quarg, Gerhard; Braun, Christian;

doi: 10.2143/ast.36.2.2017937

The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment

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).

Keywords

Applications of statistics to actuarial sciences and financial mathematics, Risk theory, insurance, Statistical methods; economic indices and measures

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
20
Average
Top 10%
Top 10%
bronze