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