One-Year and Ultimate Reserve Risk in Mack Chain Ladder Model

We investigate the relation between one-year reserve risk and ultimate in Mack Chain Ladder model a simulation study. The first goal is to validate so-called linear emergence pattern formula, which maps loss loss, case when we measure risks with Value-at-Risk. second estimate true of i.e., conditional distribution given from can properly derive for horizon simulations losses. Finally, our third test if classical actuarial distributions be used modelling outstanding perspective. In study, several synthetic triangles various duration claims development process, volatility, skewness, distributional assumptions individual factors. quantify without estimation error