Bounds on the estimation error in the chain ladder method

Mario Wüthrich, Michael Merz and Hans Bühlmann

Scandinavian Actuarial Journal, 2008, vol. 2008, issue 4, 283-300

Abstract: Buchwalder et al. (2006) have illustrated that there are different approaches for the derivation of an estimate for the parameter estimation error in the distribution-free chain ladder reserving method. In this paper, we demonstrate that these approaches provide estimates that are close to each other for typical parameters. This is carried out by proving upper and lower bounds.

Date: 2008
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DOI: 10.1080/03461230701723032

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