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Prediction Uncertainty in the Bornhuetter-Ferguson Claims Reserving Method: Revisited

Published online by Cambridge University Press:  21 October 2010

D. H. Alai ,
M. Merz  and
M. V. Wüthrich
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Abstract

We revisit the stochastic model of Alai et al. (2009) for the Bornhuetter-Ferguson claims reserving method, Bornhuetter & Ferguson (1972). We derive an estimator of its conditional mean square error of prediction (MSEP) using an approach that is based on generalized linear models and maximum likelihood estimators for the model parameters. This approach leads to simple formulas, which can easily be implemented in a spreadsheet.

Keywords

Claims ReservingBornhuetter-FergusonOverdispersed Poisson DistributionChain Ladder MethodGeneralized Linear ModelsFisher Information MatrixConditional Mean Square Error of Prediction

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Type
Papers
Information
Annals of Actuarial Science , Volume 5 , Issue 1 , March 2011 , pp. 7 - 17
Copyright
Copyright © Institute and Faculty of Actuaries 2010

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References

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