Astin Bulletin · 1999 · 103 citations · 1 references
Social SciencesEconomicsFinancial EconomicsForecastingPerformance MeasurementError EstimationReserve EstimationChain-ladder ModelsMack Chain Ladder ModelMack's Chain Ladder ModelReserve Estimation ErrorReserve Estimation ModelsStandard Error Estimation
Abstract In Mack (1993), a formula for the standard error or chain ladder reserve estimates has been derived. In the present communication, a very intuitive and easily programmable recursive way of calculating the formula is given. Moreover, this recursive way shows how a tail factor can be implemented in the calculation of the standard error.
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