Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result

Hans Bühlmann · Massimo Di Felice · Alois Gisler · Franco Moriconi · Mario V. Wüthrich

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Probability and Risk Models Insurance and Financial Risk Management Insurance, Mortality, Demography, Risk Management

Abstract

Abstract In recent Solvency II considerations much effort has been put into the development of appropriate models for the study of the one-year loss reserving uncertainty in non-life insurance. In this article we derive formulas for the conditional mean square error of prediction of the one-year claims development result in the context of the Bayes chain ladder model studied in Gisler-Wüthrich. The key to these formulas is a recursive representation for the results obtained in Gisler-Wüthrich.

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References

1987Stochastic Simulation 1993Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates 2008Stochastic claims reserving methods in insurance 2006The Mean Square Error of Prediction in the Chain Ladder Reserving Method (Mack and Murphy Revisited)2008Modelling The Claims Development Result For Solvency Purposes 2009The one-year non-life insurance risk 1981Recursive credibility estimation 2008Credibility for the Chain Ladder Reserving Method

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