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The Mean Square Error of Prediction in the Chain Ladder Reserving Method – A Comment

Published online by Cambridge University Press:  17 April 2015

Thomas Mack ,
Gerhard Quarg  and
Christian Braun
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Abstract

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We discuss some questionable points of the approach taken in the paper by Buchwalder, Bühlmann, Merz and Wüthrich and come to the conclusion that this approach does not yield an improvement of Mack’s original formula. The main reason is that the new approach disregards the negative correlation of the squares of the development factors. The same applies to the formula by Murphy (PCAS 1994).

Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 36 , Issue 2 , November 2006 , pp. 543 - 552
Copyright
Copyright © ASTIN Bulletin 2006

References

Buchwalder, M., Bühlmann, H., Merz, M. and Wüthrich, M.V. (2006) The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited), ASTIN Bulletin, 36(2), 521–542.CrossRefGoogle Scholar