 previous article in this issue |
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Document Details : Title: The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor Author(s): MACK, Th. Journal: ASTIN Bulletin Volume: 29 Issue: 2 Date: November 1999 Pages: 361-366 DOI: 10.2143/AST.29.2.504622 Abstract : In Mack (1993), a formula for the standard error or chain ladder reserve estimates has been derived. In the present communication, a very intuitive and easily programmable recursive way of calculating the formula is given. Moreover, this recursive way shows how a tail factor can be implemented in the calculation of the standard error. |
