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In this paper we present a stochastic model that allows to derive estimators for the Mean Squared Error of Prediction (MSEP) of the one-year uncertainty related to the premium and Unearned Premium Reserve (UPR) risk (as defined according to the modified Swiss Solvency Test methodology outlined...
Persistent link: https://www.econbiz.de/10012967627
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...
Persistent link: https://www.econbiz.de/10013217871
In this paper we recall and comment, aiming to help understanding, the model assumptions underlying the undertaking specific parameter (USP) method 1 as defined in the Solvency II regulation. In addition we propose an adjusted standard deviation estimator which also take into account the...
Persistent link: https://www.econbiz.de/10012934735
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...
Persistent link: https://www.econbiz.de/10013404315