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Document Details :

Title: Recursive Credibility Formula for Chain Ladder Factors and the Claims Development Result
Author(s): BÜHLMANN, Hans , DE FELICE, Massimo , GISLER, Alois , MORICONI, Franco , WÜTHRICH, Mario V.
Journal: ASTIN Bulletin
Volume: 39    Issue: 1   Date: 2009   
Pages: 275-306
DOI: 10.2143/AST.39.1.2038065

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 [9]. The key to these formulas is a recursive representation for the results obtained in Gisler-Wüthrich [9].

35.172.217.174.