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Date
2008Type
- Journal Article
ETH Bibliography
yes
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Abstract
Buchwalder et al. (2006) have illustrated that there are different approaches for the derivation of an estimate for the parameter estimation error in the distribution-free chain ladder reserving method. In this paper, we demonstrate that these approaches provide estimates that are close to each other for typical parameters. This is carried out by proving upper and lower bounds. © 2008 Taylor & Francis. Show more
Publication status
publishedExternal links
Journal / series
Scandinavian Actuarial JournalVolume
Pages / Article No.
Publisher
Taylor & FrancisSubject
Non-life insurance; Claims reserving; Chain ladder; Mean square error of prediction; Estimation errorOrganisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
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ETH Bibliography
yes
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