Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting

Nils Engler and Filip Lindskog

Papers from arXiv.org

Abstract: The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabled Mack to derive an estimator of conditional mean squared error of prediction for the chain ladder predictor. Classical insurance loss models, i.e. of compound Poisson type, are not consistent with Mack's distribution-free chain ladder. However, for a sequence of compound Poisson loss models indexed by exposure (e.g. number of contracts), we show that the chain ladder predictor and Mack's estimator of conditional mean squared error of prediction can be derived by considering large exposure asymptotics. Hence, quantifying chain ladder prediction uncertainty can be done with Mack's estimator without relying on the validity of the model assumptions of the distribution-free chain ladder.

Date: 2023-10
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2310.12056 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2310.12056

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().