IDEAS home Printed from https://ideas.repec.org/a/cup/astinb/v39y2009i01p275-306_00.html
   My bibliography  Save this article

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

Author

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

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.

Suggested Citation

  • Bühlmann, Hans & De Felice, Massimo & Gisler, Alois & Moriconi, Franco & Wüthrich, Mario V., 2009. "Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 275-306, May.
    • Handle: RePEc:cup:astinb:v:39:y:2009:i:01:p:275-306_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S051503610000012X/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Merz, Michael & Wüthrich, Mario V., 2010. "Paid-incurred chain claims reserving method," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 568-579, June.
    2. Robert, Christian Y., 2013. "Market Value Margin calculations under the Cost of Capital approach within a Bayesian chain ladder framework," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 216-229.
    3. Happ, Sebastian & Merz, Michael & Wüthrich, Mario V., 2012. "Claims development result in the paid-incurred chain reserving method," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 66-72.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:astinb:v:39:y:2009:i:01:p:275-306_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/asb .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.