previous article in this issue | next article in this issue |
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]. |