We derive in a straightforward manner and through a unified framework the main known results related to the estimation of the ultimate prediction uncertainty within the famous Mack's distribution-free chain-ladder model, specifically, the Mack and BBMW formulas, and explain the deviation between...

In this paper we provide a new expression for the true one-year prediction uncertainty within the chain-ladder model of Mack, which can be useful for quantification and sensitivity analysis.We also show that, in case sufficiently large sized claims trapezoids are considered (which might not be...

In the freshly published Gisler paper (EAJ, 2020) the author came to the conclusion that the Mack formula for quantifying the ultimate prediction uncertainty within the famous distribution free chain-ladder model should be preferred over the BBMW formula.In this paper we make aware that the...