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The Mack model is attractive because:The Mack model is attractive because: The Best Linear Unbiased Estimator (“BLUE”) for the reserves equals the chain-ladder estimates. See Murphy 1994 for further details. The model is robust in handling [some] negative development increments. 1234 19 Introduction to Stochastic Reserving E(D y,d |D y,d− ...
The chain ladder method is a simple and suggestive tool in claims reserving, and various attempts have been made aiming at its justification in a stochastic model. Remarkable progress has been achieved by Schnieper and Mack who considered models involving assumptions on conditional distributions.
- Klaus D. Schmidt, Anja Schnaus
- 1996
We revisit the “full picture” of the claims development uncertainty in Mack’s (1993) distribution-free stochastic chain ladder model. We derive the uncertainty estimators in a new and easily understandable way, which is much simpler than the derivation found so far in the literature, and compare them with the well known estimators of Mack and of Merz–Wüthrich.
- Alois Gisler
- 2019
The chain ladder method is probably the most popular method for estimating IBNR claims reserves. The main reason for this is its simplicity and the fact that it is distribution-flee, i.e. that it seems to work with almost no assump- tions. On the other hand, it is well-known that chain ladder reserve estimates
- 446KB
- 14
to posit models that reflect the chain-ladder method 1. Introduction The chain-ladder variance formulas first proposed by Dr. Thomas Mack (1993) are based upon all-year volume-weighted average report-to-report factors ( link ratios or factors ) and an assumed vari-ance structure that is proportional to the development period s initial loss.
Model of Reserving with Robust Estimationby Przemyslaw SlomaABSTRACTIn this paper we consider the problem of stochasti. claims reserv-ing in the framework of development factor models (DFM). More precisely, we provide the generalized Mack chain-ladder (GMCL) model that expands the approaches of Mack. (1993; 1994; 1999), Saito (2009) and Murphy ...
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Is the chain ladder predictor unbiased?
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AN EXTENSION OF MACK'S MODEL FOR THE CHAIN LADDER METHOD 249 In order to study the properties of the chain ladder factors and of the chain ladder predictors, we introduce the development factors Si,t Fi. I :-" Si,l_l for all i ~ 10, 1 ..... n} and l ~ { 1 ..... n}. Then the aggregate claims satisfy
