Prediction uncertainties in the Cape Cod reserving method
نویسندگان
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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In Buchwalder et al. [3] we have revisited Mack’s [7] and Murphy’s [9] estimates for the mean square error of prediction (MSEP) of the chain ladder claims reserving method. This was done using a time series model for the chain ladder method. In this paper we extend the time series model to determine an estimate for the MSEP of a portfolio of N correlated run-off triangles. This estimate differs...
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Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the prediction of adequate claims reserves for a portfolio consisting of several run-off subportfolios from dependent lines of business is of big importance for every non-life insurance company. In the present paper we consider the claims reserving problem in a multivaria...
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ژورنال
عنوان ژورنال: Annals of Actuarial Science
سال: 2015
ISSN: 1748-4995,1748-5002
DOI: 10.1017/s1748499514000359