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The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

Published online by Cambridge University Press:  17 April 2015

Christian Braun
Christian Braun*
Affiliation:
Munich Reinsurance Company, 80791 Munich Germany. E-mail: cbraun@munichre.com
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Abstract

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It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.

Keywords

Chain LadderPrediction ErrorCorrelation of Run-offsSegmented Portfolio
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 34 , Issue 2 , November 2004 , pp. 399 - 423
Copyright
Copyright © ASTIN Bulletin 2004

References

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