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of forecast bias and (ii) investors' limited capability to adjust to this bias. We assume that the presence of a bias is … skills, all the more so the larger the uncertainty about the forecast bias …
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We derive in a straightforward manner and through a unified framework the main known results related to the estimation of the ultimate prediction uncertainty within the famous Mack's distribution-free chain-ladder model, specifically, the Mack and BBMW formulas, and explain the deviation between...
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