Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack
Year of publication: |
2023
|
---|---|
Authors: | Siegenthaler, Filippo |
Published in: |
Annals of actuarial science : publ. by the Institute of Actuaries and the Faculty of Actuaries. - Cambridge : Cambridge Univ. Press, ISSN 1748-5002, ZDB-ID 2418917-0. - Vol. 17.2023, 1, p. 118-144
|
Subject: | Claims reserving | Conditional mean square error of prediction | Distribution-free chain-ladder model | Ultimate prediction uncertainty |
-
Claims run-off uncertainty : the full picture
Merz, Michael, (2015)
-
The reserve uncertainties in the chain ladder model of mack revisited
Gisler, Alois, (2019)
-
Claims reserving in the hierarchical generalized linear model framework
Gigante, Patrizia, (2013)
- More ...
-
One-Year and Total Run-Off Reserve Risk Estimators Based on Historical Ultimate Estimates
Siegenthaler, Filippo, (2018)
-
On the USP Calculation Under Solvency II and its Approximation with a Closed Form Formula
Siegenthaler, Filippo, (2018)
-
A New Expression for the True One-Year Prediction Uncertainty in the Chain-Ladder Model of Mack
Siegenthaler, Filippo, (2021)
- More ...