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

Thomas Mack; Gerhard Quarg; Christian Braun

doi:10.2143/AST.36.2.2017937

Abstract

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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).

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This article has been cited by the following publications. This list is generated based on data provided by Crossref.

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Article contents

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

Abstract

References

This article has been cited by the following publications. This list is generated based on data provided by Crossref.

Article contents

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

Abstract

References

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