Asymptotic theory for Mack's model

Julia Steinmetz and Carsten Jentsch

Insurance: Mathematics and Economics, 2022, vol. 107, issue C, 223-268

Abstract: The distribution-free chain ladder reserving model by Mack (1993) belongs to the most popular approaches in non-life insurance mathematics. It was originally proposed to determine the first two moments of the reserve distribution. Together with a normal approximation, it is commonly applied to conduct statistical inference including the estimation of large quantiles of the reserve and determination of the reserve risk. However, for Mack's model, the literature lacks a rigorous justification of such a normal approximation for the reserve.

Keywords: Chain ladder model; Claims reserving; Conditional limiting theory; Limiting distribution; Mack's model; Reserve risk (search for similar items in EconPapers)
JEL-codes: C13 C18 C53 G22 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:107:y:2022:i:c:p:223-268

DOI: 10.1016/j.insmatheco.2022.08.007

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