Uncertainty of the claims development result in the chain ladder method

Mario Wüthrich, Michael Merz and Natalia Lysenko

Scandinavian Actuarial Journal, 2009, vol. 2009, issue 1, 63-84

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.

Date: 2009
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DOI: 10.1080/03461230801979732

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