Generalisation of Mack’s formula for claims reserving with arbitrary exponents for the variance assumption - Collections

＜preprint＞
Generalisation of Mack’s formula for claims reserving with arbitrary exponents for the variance assumption

Creator	Author PID K004060 Creator Name Saito, Shingo 斎藤, 新悟サイトウ, シンゴ Affiliation Affiliation Name Faculty of Mathematics, Kyushu University 九州大学大学院数理学研究院
Language	English
Publisher	Faculty of Mathematics, Kyushu University
Publisher	九州大学大学院数理学研究院
Date	2009-02-26
Source Title	MI Preprint Series
Vol	2009-10
Publication Type	Author's Original
Access Rights	open access
Rights	Published in Journal of Math-for-Industry, 1, p7-15, published by Faculty of Mathematics, Kyushu University
Related DOI
Related DOI	MI Preprint Series \|\| 2009-10 \|\| p1-9
Related DOI	http://www.math.kyushu-u.ac.jp/
Related URI	MI Preprint Series \|\| 2009-10 \|\| p1-9
Related URI	http://www.math.kyushu-u.ac.jp/
Related URI	isIdenticalTo http://hdl.handle.net/2324/13969
Related HDL
Relation	MI Preprint Series \|\| 2009-10 \|\| p1-9
Relation	http://www.math.kyushu-u.ac.jp/
Abstract	Mack estimated the mean squared errors of the outstanding claims reserve of each accident year and of the overall claims reserve in order to obtain their confidence intervals within his distribution-f...ree model. We generalise his formulae by allowing for arbitrary exponents in the variance assumption. Our formula is also capable of giving a confidence interval of the amount that the insurer is liable to pay each year.show more

File	FileType	Size	Views	Description
MI2009-10	pdf	132 KB	228

Record ID	13329
Peer-Reviewed	Unrefereed
Related URI	http://hdl.handle.net/2324/13969
Subject Terms	Mack’s formula
	claims reserving
	chain-ladder method
	mean squared error
Notes	MI: Global COE Program Education-and-Research Hub for Mathematics-for-Industry
Notes	グローバルCOEプログラム「マス･フォア･インダストリ教育研究拠点」
Type	プレプリント
Created Date	2009.09.02
Modified Date	2018.02.06