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Mean Square Error of Prediction in the Bornhuetter–Ferguson Claims Reserving Method

Alai, Daniel H., Merz, Michael, Wuethrich, Mario V. (2009) Mean Square Error of Prediction in the Bornhuetter–Ferguson Claims Reserving Method. Annals of Actuarial Science, 4 (01). pp. 7-31. ISSN 1748-4995. (doi:10.1017/S1748499500000580) (The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided) (KAR id:38163)

The full text of this publication is not currently available from this repository. You may be able to access a copy if URLs are provided. (Contact us about this Publication)
Official URL
http://dx.doi.org/10.1017/S1748499500000580

Abstract

The prediction of adequate claims reserves is a major subject in actuarial practice and science. Due to their simplicity, the chain ladder (CL) and Bornhuetter–Ferguson (BF) methods are the most commonly used claims reserving methods in practice. However, in contrast to the CL method, no estimator for the conditional mean square error of prediction (MSEP) of the ultimate claim has been derived in the BF method until now, and as such, this paper aims to fill that gap. This will be done in the framework of generalized linear models (GLM) using the (overdispersed) Poisson model motivation for the use of CL factor estimates in the estimation of the claims development pattern.

Item Type: Article
DOI/Identification number: 10.1017/S1748499500000580
Uncontrolled keywords: Claims Reserving; Bornhuetter–Ferguson; Overdispersed Poisson Distribution; Chain Ladder Method; Generalized Linear Models; Conditional Mean Square Error of Prediction
Subjects: Q Science > QA Mathematics (inc Computing science)
Divisions: Faculties > Sciences > School of Mathematics Statistics and Actuarial Science
Depositing User: Daniel Alai
Date Deposited: 05 Feb 2014 14:19 UTC
Last Modified: 06 Feb 2020 04:09 UTC
Resource URI: https://kar.kent.ac.uk/id/eprint/38163 (The current URI for this page, for reference purposes)
Alai, Daniel H.: https://orcid.org/0000-0001-7989-784X
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