Centro de Documentacion de Fundación MAPFRE - Estimation error and bootstrapping in the chain-ladder model of Mack

MAP20220007245

Estimation error and bootstrapping in the chain-ladder model of Mack / Alois Gisler

Sumario: In 2006 there was quite some discussion on how to estimate the conditional estimation error in the chain-ladder (CL) model of Mack. Buchwalder, Bühlmann, Merz and Wüthrich (BBMW) (ASTIN Bull 36(2):521542, 2006) proposed another estimator than the one derived by Mack (ASTIN Bull 23(2):213225, 1993). These two estimators are also found in a broader context by new authors in recent papers. In the present paper we examine the theoretical properties of the two estimators and come to the conclusion that the BBMW estimator has some major deficiencies compared with the Mack estimator. It takes much less information of the observed triangle into account, the averaging is done over inappropriate sets and it does not properly fit to the Mack CL-model.

En: European Actuarial Journal. - Cham, Switzerland : Springer Nature Switzerland AG, 2021-2022. - 07/06/2021 Volúmen 11 - Número 1 - junio 2021 , p. 269-283

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