Abstract
It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.
Keywords: Chain Ladder, Prediction Error, Correlation of Run-offs, Segmented Portfolio
Volume
Bergen, Norway
Year
2004
Categories
Actuarial Applications and Methodologies
Reserving
Reserve Variability
Actuarial Applications and Methodologies
Reserving
Uncertainty and Ranges
Financial and Statistical Methods
Statistical Models and Methods
Publications
ASTIN Colloquium
