The Prediction Error of the Chain Ladder Method Applied to Correlated Run-off Triangles

Christian Braun

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Abstract

It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles.

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1993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates 1999The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor

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2012Predicting Multivariate Insurance Loss Payments Under the Bayesian Copula Framework 2008Prediction Error of the Multivariate Chain Ladder Reserving Method 2012Dependence modelling in multivariate claims run-off triangles 2012Modeling Dependence between Loss Triangles 2006Multivariate loss prediction in the multivariate additive model 2010A general multivariate chain ladder model 2015MODELING DEPENDENCE BETWEEN LOSS TRIANGLES WITH HIERARCHICAL ARCHIMEDEAN COPULAS

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