Uncertainty of the claims development result in the chain ladder method

Abstract
Using the distribution-free chain ladder method we estimate the total ultimate claim amounts at time I and after updating the information at time I + 1. The observable claims development result at time I + 1 for accounting year (I, I + 1] is then defined to be the difference between these two successive best estimate predictions for the ultimate claim. We analyze the uncertainty of this observable claims development result.
Volume
2009
Page
63-84
Number
1
Year
2009
Keywords
Non-life insurance; Claims reserving; Chain ladder method; Mean square error of prediction; Claims development result; Solvency II
Categories
New Valuation Techniques
Publications
Scandinavian Actuarial Journal
Authors
Wüthrich, Mario Valentine
Merz, Michael
Lysenko, Natalie