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Document Details :
Title: The Mean Square Error of Prediction in the Chain Ladder Reserving Method
Subtitle: A Comment
Author(s): MACK, Thomas , QUARG, Gerhard , BRAUN, Christian
Journal: ASTIN Bulletin
Volume: 36 Issue: 2 Date: 2006
We discuss some questionable points of the approach taken in the paper by
Buchwalder, Bühlmann, Merz and Wüthrich and come to the conclusion
that this approach does not yield an improvement of Mack’s original formula.
The main reason is that the new approach disregards the negative correlation
of the squares of the development factors. The same applies to the formula by
Murphy (PCAS 1994).