Recursive credibility formula for chain ladder factors and the claims development result

In recent Solvency II considerations much e ort 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-Wuthrich [9]. The key to these formulas is a recursive representation for the results obtained in Gisler-Wuthrich [9].