One-year estimation uncertainty in some claim development models

Walther Neuhaus

Scandinavian Actuarial Journal, 2019, vol. 2019, issue 7, 621-635

Abstract: The paper studies the one-year estimation uncertainty associated with using credibility-based loss reserving methods, when claim development can be described by the models of Bühlmann-Straub or Hesselager-Witting. Having found a formula, it seems natural to minimise the one-year estimation uncertainty in the same way as one can minimise the ultimate uncertainty, i.e. to minimise the MSEP. It turns out that minimisation of the one-year estimation uncertainty leads to unreasonable and unsightly results. This puts into question the sanity of the concept of one-year estimation uncertainty.

Date: 2019
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DOI: 10.1080/03461238.2019.1586757

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