The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor

Thomas M. Mack

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Abstract

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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1993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates

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2006The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)2013INDIVIDUAL LOSS RESERVING WITH THE MULTIVARIATE SKEW NORMAL FRAMEWORK 2004The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles 2019A machine learning approach for individual claims reserving in insurance 2018On the Lifetime and One-Year Views of Reserve Risk, with Application to IFRS 17 and Solvency II Risk Margins 2011A Bayesian Non-Linear Model for Forecasting Insurance Loss Payments 2008The Prediction Error of Bornhuetter/Ferguson 2006The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)

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