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-Wuethric (2008). The key to these formulas is a recursive representation for the results obtained in Gisler-Wuethrich.
Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
MORICONI, Franco;
2009
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-Wuethric (2008). The key to these formulas is a recursive representation for the results obtained in Gisler-Wuethrich.File in questo prodotto:
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