Bounds on the Estimation Error in the Chain Ladder Method
نویسندگان
چکیده
Buchwalder et al. [2] have illustrated that there are different approaches for the derivation of an estimate for the estimation error in the chain ladder reserving method. In this paper we demonstrate that these approaches give estimates that are for typical parameters close to each other. This is done by proving upper and lower bounds.
منابع مشابه
Robust Identification of Smart Foam Using Set Mem-bership Estimation in A Model Error Modeling Frame-work
The aim of this paper is robust identification of smart foam, as an electroacoustic transducer, considering unmodeled dynamics due to nonlinearities in behaviour at low frequencies and measurement noise at high frequencies as existent uncertainties. Set membership estimation combined with model error modelling technique is used where the approach is based on worst case scenario with unknown but...
متن کاملCombining Chain-Ladder and Additive Loss Reserving Method for Dependent Lines of Business
Often in non-life insurance, claims reserves are the largest position on the liability side of the balance sheet. Therefore, the estimation of adequate claims reserves for a portfolio consisting of several run-off subportfolios is relevant for every nonlife insurance company. In the present paper we provide a framework in which we unify the multivariate Chain-ladder (CL) model and the multivari...
متن کاملAutomatic Bounding Estimation in Modified Nlms Algorithm
Modified Normalized Least Mean Square (MNLMS) algorithm, which is a sign form of NLMS based on set-membership (SM) theory in the class of optimal bounding ellipsoid (OBE) algorithms, requires a priori knowledge of error bounds that is unknown in most applications. In a special but popular case of measurement noise, a simple algorithm has been proposed. With some simulation examples the performa...
متن کاملNon-Bayesian Estimation and Prediction under Weibull Interval Censored Data
In this paper, a one-sample point predictor of the random variable X is studied. X is the occurrence of an event in any successive visits $L_i$ and $R_i$ :i=1,2…,n (interval censoring). Our proposed method is based on finding the expected value of the conditional distribution of X given $L_i$ and $R_i$ (i=1,2…,n). To make the desired prediction, our approach is on the basis of approximating the...
متن کاملError Modeling in Distribution Network State Estimation Using RBF-Based Artificial Neural Network
State estimation is essential to access observable network models for online monitoring and analyzing of power systems. Due to the integration of distributed energy resources and new technologies, state estimation in distribution systems would be necessary. However, accurate input data are essential for an accurate estimation along with knowledge on the possible correlation between the real and...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006