Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-Off Triangles
نویسندگان
چکیده
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 in the special case N = 2 from the estimate given by Braun [2]. We discuss the differences between the estimates.
منابع مشابه
The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles
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 کاملMethods and Models of Loss Reserving Based on Run-Off Triangles: A Unifying Survey
The present paper provides a unif3"ing survey of some of the most important methods and models of loss reserving which are based on run-off triangles. The starting point is the thesis that the use of runoff triangles in loss reserving can be justified only under the assumption that the development of the losses of ever3, accident year follows a development pattern which is common to all acciden...
متن کاملPrediction 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 ...
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 کاملVerteilungsfreie Verfahren in der Schadenreservierung
The prediction of outstanding loss liabilities for a non-life run-o -portfolio as well as the quanti cation of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More precisely, we derive the predictive distribution of the claims reserves simultaneously for several correlated run-o...
متن کامل