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The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor

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  • Mack, Thomas

Abstract

In Mack (1993), a formula for the standard error or chain ladder reserve estimates has been derived. In the present communication, a very intuitive and easily programmable recursive way of calculating the formula is given. Moreover, this recursive way shows how a tail factor can be implemented in the calculation of the standard error.

Suggested Citation

  • Mack, Thomas, 1999. "The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 361-366, November.
    • Handle: RePEc:cup:astinb:v:29:y:1999:i:02:p:361-366_01
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    Cited by:

    1. Alessandro Ricotta & Edoardo Luini, 2019. "Bayesian Estimation of Structure Variables in the Collective Risk Model for Reserve Risk," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 9(2), pages 1-2.
    2. COSTA, JUAN IGNACIO BACCINO & DE ARMAS, GONZALO & Álvarez-Vaz, Ramón Dr., 2022. "Estudio De Algunos Métodos De Reservas Técnicas En Condiciones De Incertidumbre Para Seguros De No Vida (Study Of Some Methods Of Technical Reserves Under Conditions Of Uncertainty For Non-Life Insura," OSF Preprints 3pjr9, Center for Open Science.
    3. Crevecoeur, Jonas & Robben, Jens & Antonio, Katrien, 2022. "A hierarchical reserving model for reported non-life insurance claims," Insurance: Mathematics and Economics, Elsevier, vol. 104(C), pages 158-184.
    4. Crevecoeur, Jonas & Antonio, Katrien & Verbelen, Roel, 2019. "Modeling the number of hidden events subject to observation delay," European Journal of Operational Research, Elsevier, vol. 277(3), pages 930-944.
    5. Alessandro Ricotta & Gian Paolo Clemente, 2016. "An Extension of Collective Risk Model for Stochastic Claim Reserving," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(5), pages 1-3.
    6. Chehade, Abdallah & Savargaonkar, Mayuresh & Krivtsov, Vasiliy, 2022. "Conditional Gaussian mixture model for warranty claims forecasting," Reliability Engineering and System Safety, Elsevier, vol. 218(PB).
    7. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Economics Papers 2018-W02, Economics Group, Nuffield College, University of Oxford.
    8. Diers, Dorothea & Linde, Marc & Hahn, Lukas, 2016. "Addendum to ‘The multi-year non-life insurance risk in the additive reserving model’ [Insurance Math. Econom. 52(3) (2013) 590–598]: Quantification of multi-year non-life insurance risk in chain ladde," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 187-199.
    9. Nichil, Geoffrey & Vallois, Pierre, 2016. "Provisioning against borrowers default risk," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 29-43.
    10. Crevecoeur, Jonas & Antonio, Katrien & Desmedt, Stijn & Masquelein, Alexandre, 2023. "Bridging the gap between pricing and reserving with an occurrence and development model for non-life insurance claims," ASTIN Bulletin, Cambridge University Press, vol. 53(2), pages 185-212, May.
    11. England, P.D. & Verrall, R.J. & Wüthrich, M.V., 2019. "On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 74-88.
    12. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Papers 1806.05939, arXiv.org.
    13. Fröhlich, Andreas & Weng, Annegret, 2018. "Parameter uncertainty and reserve risk under Solvency II," Insurance: Mathematics and Economics, Elsevier, vol. 81(C), pages 130-141.
    14. Yanez, Juan Sebastian & Pigeon, Mathieu, 2021. "Micro-level parametric duration-frequency-severity modeling for outstanding claim payments," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 106-119.

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