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

Thomas Mack, Gerhard Quarg and Christian Braun

ASTIN Bulletin, 2006, vol. 36, issue 2, 543-552

Abstract: 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).

Date: 2006
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