Search Results - subject:"conditional mean square error of prediction"

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Unbiased estimator for the ultimate claim prediction error in the chain-ladder model of Mack

Siegenthaler, Filippo - In: Annals of actuarial science : publ. by the Institute of … 17 (2023) 1, pp. 118-144

Persistent link: https://www.econbiz.de/10014306892

The reserve uncertainties in the chain ladder model of mack revisited

Gisler, Alois - In: Astin bulletin : the journal of the International … 49 (2019) 3, pp. 787-821

Persistent link: https://www.econbiz.de/10012125164

Full Bayesian analysis of claims reserving uncertainty

Peters, Gareth; Targino, Rodrigo S.; Wüthrich, Mario V. - In: Insurance / Mathematics & economics 73 (2017), pp. 41-53

Persistent link: https://www.econbiz.de/10011702044

Claims run-off uncertainty : the full picture

Merz, Michael; Wüthrich, Mario V. - 2015 - This version: July 3, 2015

-ladder (CL) claims reserving method. Therefore, we consider the conditional mean square error of prediction (MSEP) of the total …

Persistent link: https://www.econbiz.de/10011293560

Claims reserving in the hierarchical generalized linear model framework

Gigante, Patrizia; Picech, Liviana; Sigalotti, Luciano - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 381-390

We consider an approach based on the hierarchical generalized linear models and h-likelihood estimators for claims reserving in non-life insurance. The hierarchical generalized linear models represent a class of flexible mixture models that extend the generalized linear models and the...

Persistent link: https://www.econbiz.de/10010662436