In this paper we recall and comment, aiming to help understanding, the model assumptions underlying the undertaking specific parameter (USP) method 1 as defined in the Solvency II regulation. In addition we propose an adjusted standard deviation estimator which also take into account the...

In this paper we provide a new expression for the true one-year prediction uncertainty within the chain-ladder model of Mack, which can be useful for quantification and sensitivity analysis.We also show that, in case sufficiently large sized claims trapezoids are considered (which might not be...

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...

In this paper we present a stochastic model that allows to derive estimators for the Mean Squared Error of Prediction (MSEP) of the one-year uncertainty related to the premium and Unearned Premium Reserve (UPR) risk (as defined according to the modified Swiss Solvency Test methodology outlined...

In this paper we propose possible enhancements related to the Swiss Solvency Test (SST) methodology as presented in the technical documentation from the Swiss regulator FINMA. In particular we allow for considering the Unearned Premium Reserve (UPR) risk and show which additional terms should be...

In the freshly published Gisler paper (EAJ, 2020) the author came to the conclusion that the Mack formula for quantifying the ultimate prediction uncertainty within the famous distribution free chain-ladder model should be preferred over the BBMW formula.In this paper we make aware that the...

We highlight that the classical chain-ladder ultimate claims predictor for the total over all accident years just results to be conditionally unbiased given the first triangle column and propose a correction term making it conditionally unbiased given the latest triangle diagonal. This might be...