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The Standard Error of Chain Ladder Reserve Estimates: Recursive Calculation and Inclusion of a Tail Factor

Published online by Cambridge University Press:  29 August 2014

Thomas Mack
Thomas Mack*
Affiliation:
Munich Re, Munich
*
Münchener Rückversicherungs-Gesellschaft, Königinstrasse 107, D-80791 München, e-mail:[email protected]
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Abstract

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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.

Keywords

Chain LadderStandard ErrorRecursive CalculationTail Factor
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 29 , Issue 2 , November 1999 , pp. 361 - 366
Copyright
Copyright © International Actuarial Association 1999

References

Mack, Th. (1993), Distribution-free Calculation of the Standard Error of Chain Ladder Reserve Estimates, ASTIN Bulletin, 23, 213–225.CrossRefGoogle Scholar