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Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-off Triangles

Merz, M. ; Wüthrich, M. V.

In: Annals of Actuarial Science, 2007, vol. 2, no. 1, p. 25-50

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    Titre
    • Prediction Error of the Chain Ladder Reserving Method applied to Correlated Run-off Triangles
    Auteur
    • Merz, M.. University of Tübingen, Faculty of Economics, D-72074, Germany
    • Wüthrich, M. V.. ETH Zürich, Department of Mathematics, CH-8092 Zürich, Switzerland
    Type de document
    • Postprint
    Langue
    • Anglais
    Publié dans
    • Annals of Actuarial Science, 2007, vol. 2, no. 1, p. 25-50. Cambridge University Press
    Autre version électronique
    Identifiant OAI-PMH
    • oai:doc.rero.ch:303424
    Summary
    In Buchwalder et al. (2006) we revisited Mack's (1993) and Murphy's (1994) estimates for the mean square error of prediction (MSEP) of the chain ladder claims reserving method. This was done using a time series model for the chain ladder method. In this paper we extend the time series model to determine an estimate for the MSEP of a portfolio of N correlated run-off triangles. This estimate differs in the special case N = 2 from the estimate given by Braun (2004). We discuss the differences between the estimates