The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)
Year: 2006
Type: article
Abstract: We revisit the famous Mack formula [2], which gives an estimate for the mean square error of prediction MSEP of the chain ladder claims reserving method: We define a time series model for the chain ladder method. In this time series framework we give an approach for the estimation of the conditional MSEP. It turns out that our approach leads to results that differ from the Mack formula. But we also see that our derivation leads to the same formulas for the MSEP estimate as the ones given in Murphy [4]. We discuss the differences and similarities of these derivations.
Source: Astin Bulletin
Institutions: ETH Zurich, University of Tübingen
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2114657589