Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates by Thomas Mack
نویسنده
چکیده
A distribution-free formula for the standard error of chain ladder reserve estimates is derived and compared to the results of some parametric methods using a numerical example.
منابع مشابه
A distribution-free formula for the standard error of chain ladder reserve estimates is derived and compared to the results of some parametric methods
A distribution-free formula for the standard error of chain ladder reserve estimates is derived and compared to the results of some parametric methods using a numerical example.
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The variability of chain ladder reserve estimates is quantified without assuming any specific claims amount distribution function. This is done by establishing a formula for the socalled standard error which is an estimate for the standard deviation of the outstanding claims reserve. The information necessary for this purpose is extracted only from the usual chain ladder formulae. With the stan...
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It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.
متن کاملComments on: “A comparison of stochastic models that reproduce chain ladder reserve estimates”, by Mack and Venter
This note contains a discussion of the paper of Mack and Venter (2000), and also refers to the paper of Verrall (2000) (both in this issue). The issue is the relationship between the over-dispersed Poisson (ODP) model of Renshaw and Verrall (1998), the distribution-free stochastic model (DFCL) of Mack (1993) and the chain-ladder technique. For a full understanding of the chain-ladder technique,...
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This paper considers a range of stochastic models which give the same reserve estimates as the chain-ladder technique. The relationship between the models described by Renshaw and Verrall (Renshaw, A.E., Verrall, R.J., 1998. British Actuarial Journal 4, 903–923) and Mack (Mack, T., 1993. ASTIN Bulletin 23, 213–225) is explored in more detail than previously. Several new models are suggested and...
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