Discussion of the Mean Square Error of Prediction in the Chain Ladder Reserving Method
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چکیده
منابع مشابه
Prediction Error of the Multivariate Chain Ladder Reserving Method
In the present paper we consider the claims reserving problem in a multivariate context, that is, we study the multivariate Chain-ladder (CL) method for a portfolio of N correlated run-off triangles based on multivariate age-to-age factors. This method allows for a simultaneous study of individual run-off subportfolios and facilitates the derivation of an estimator for the mean square error of ...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 2006
ISSN: 0515-0361,1783-1350
DOI: 10.1017/s0515036100014665