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Document Details :
Title: The Mean Square Error of Prediction in the Chain Ladder Reserving Method
Subtitle: (Mack and Murphy Revisited)
Author(s): BUCHWALDER, Markus , BÜHLMANN, Hans , MERZ, Michael , WÜTRICH, Mario V.
Journal: ASTIN Bulletin
Volume: 36 Issue: 2 Date: 2006
We revisit the famous Mack formula , which gives an estimate for the mean
square error of prediction MSEP of the chain ladder claims reserving method:
We define a time series model for the chain ladder method. In this time series
framework we give an approach for the estimation of the conditional MSEP.
It turns out that our approach leads to results that differ from the Mack formula.
But we also see that our derivation leads to the same formulas for the
MSEP estimate as the ones given in Murphy . We discuss the differences and
similarities of these derivations.