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-Wüthrich [9]. The key to these formulas is a recursive representation for the results obtained in Gisler-Wüthrich [9]. © 2009 by Astin Bulletin. All rights reserved.
Recursive credibility formula for chain ladder factors and the claims development result / Hans, Buhlmann; DE FELICE, Massimo; Alois, Gisler; Franco, Moriconi; Mario V., Wuthrich. - In: ASTIN BULLETIN. - ISSN 0515-0361. - 39:1(2009), pp. 275-306. [10.2143/ast.39.1.2038065]
Recursive credibility formula for chain ladder factors and the claims development result
DE FELICE, Massimo;
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-Wüthrich [9]. The key to these formulas is a recursive representation for the results obtained in Gisler-Wüthrich [9]. © 2009 by Astin Bulletin. All rights reserved.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
