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One-year estimation uncertainty in some claim development models

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  • Walther Neuhaus

Abstract

The paper studies the one-year estimation uncertainty associated with using credibility-based loss reserving methods, when claim development can be described by the models of Bühlmann-Straub or Hesselager-Witting. Having found a formula, it seems natural to minimise the one-year estimation uncertainty in the same way as one can minimise the ultimate uncertainty, i.e. to minimise the MSEP. It turns out that minimisation of the one-year estimation uncertainty leads to unreasonable and unsightly results. This puts into question the sanity of the concept of one-year estimation uncertainty.

Suggested Citation

  • Walther Neuhaus, 2019. "One-year estimation uncertainty in some claim development models," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2019(7), pages 621-635, August.
    • Handle: RePEc:taf:sactxx:v:2019:y:2019:i:7:p:621-635
    DOI: 10.1080/03461238.2019.1586757
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