Work

Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result

Year: 2009

Type: article

Abstract: In recent Solvency II considerations much effort has been put into the development of appropriate models for the study of the one-year loss reserving uncertainty in non-life insurance. In this article we derive formulas for the conditional mean square error of prediction of the one-year claims development result in the context of the Bayes chain ladder model studied in Gisler-Wüthrich. The key to these formulas is a recursive representation for the results obtained in Gisler-Wüthrich.

Source: Astin Bulletin

DOI: 10.2143/ast.39.1.2038065

Authors: Hans Bühlmann, Massimo De Felice, Alois Gisler, Franco Moriconi, Mario V. Wüthrich

Institutions: ETH Zurich, University of Perugia

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2168229653

FWCI: 4.521

Cites: 15

Cited by: 32

Related to: 10