Abstract
Correlations of future observations are investigated within the recursive and non-recursive chain-ladder models. The recursive models considered are the Mack and over-dispersed Poisson (ODP) Mack models; the non- ecursive models are the ODP cross-classified models. istinct similarities are found between the correlations ithin the recursive and non-recursive models, but distinct differences also emerge. The ordering of corresponding correlations within the recursive and non-recursive models is also investigated.
Volume
5
Issue
2
Page
115-123
Year
2011
Keywords
Chain ladder, correlation, Mack model, non-recursive model, ODP cross-classified model, ODP Mack model, recursive model
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Financial and Statistical Methods
Statistical Models and Methods
Publications
Variance
Documents
