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Document Details : Title: The Prediction Error of the Chain Ladder Method Applied to Correlated Runn-off Triangles Author(s): BRAUN, C. Journal: ASTIN Bulletin Volume: 34 Issue: 2 Date: November 2004 Pages: 399-423 DOI: 10.2143/AST.34.2.505150 Abstract : It is shown how the distribution-free method of Mack (1993) can be extended in order to estimate the prediction error of the Chain Ladder method for a portfolio of several correlated run-off triangles. |
