A Generalized loss ratio method dealing with uncertain volume measures

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<title>Generalized loss ratio method dealing with uncertain volume measures</title>
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<namePart>Riegel, Ulrich</namePart>
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<abstract displayLabel="Summary">Unlike chain ladder, the loss ratio method requires volume measures. Typically, these volumes are assumed to be known. In practice, however, accurate volume measures are rarely available. We interpret the available volumes as estimators for the true volume measures and analyze the consequences for the loss ratio method. In particular, we calculate the mean squared error of prediction, including uncertainty of volume measures, and derive approximately optimal weights for the observed incremental loss ratios. We then introduce a generalization of the loss ratio method that is tailored to the situation of uncertain volume measures and calculate the prediction uncertainty of this generalized loss ratio method</abstract>
<note type="statement of responsibility">Ulrich Riegel</note>
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<topic>Indice de siniestralidad</topic>
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<topic>Modelo estocástico</topic>
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<title>Astin bulletin</title>
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<publisher>Belgium : ASTIN and AFIR Sections of the International Actuarial Association</publisher>
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<identifier type="issn">0515-0361</identifier>
<identifier type="local">MAP20077000420</identifier>
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<text>01/05/2018 Volumen 48 Número 2 - mayo 2018 , p. 699-747</text>
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