This paper is concerned with the choice of data granularity for application of the EDF (Exponential Dispersion Family) chain ladder model to forecast a loss reserve. As the duration of individual accident and development periods is decreased, the number of data points increases, but the...

This paper is concerned with the estimation of forecast error, particularly in relation to insurance loss reserving. Forecast error is generally regarded as consisting of three components, namely parameter, process and model errors. The first two of these components, and their estimation, are...