Centro de Documentacion de Fundación MAPFRE - Chain ladder and error propagation

MAP20160024173

Chain ladder and error propagation / Ancus Röhr

Sumario: This article shows how estimators for the chain ladder prediction error in Mack's (1993) distribution-free stochastic model can be derived using the error propagation formula. This method allows for the treatment of the general case of the prediction error of the loss development result between two arbitrary future horizons. In the well-known special cases considered previously by Mack (1993) and Merz and Wüthrich (2008). However, the algebraic form in which this article casts them is new, considerably more compact and more intuitive to understand. The error propagation method also provides a natural split into process error and parameter error. The proofs identify and exploit symmetries of chain ladder processes in a novel way. For the sake of wider practical applicability of the formulae derived, it is allows for incomplete historical data and the exclusion of outliers in the triangles

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/05/2016 Volumen 46 Número 2 - mayo 2016 , p. 293-330

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