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

＜journal article＞
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	2009-04-08
Source Title	Journal of Math-for-Industry (JMI)
Vol	1
Issue	A
First Page	7
Last Page	15
Publication Type	Version of Record
Access Rights	open access
Related DOI	JMI ; 2009A-2
Related DOI	Journal of Math-for-Industry \|\| 1(A) \|\| p7-15
	JMI \|\| 1(A) \|\| p7-15
	http://gcoe-mi.jp/
Related URI	Journal of Math-for-Industry \|\| 1(A) \|\| p7-15
	JMI \|\| 1(A) \|\| p7-15
	http://gcoe-mi.jp/
Relation	JMI ; 2009A-2
	Journal of Math-for-Industry \|\| 1(A) \|\| p7-15
	JMI \|\| 1(A) \|\| p7-15
	http://gcoe-mi.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 con dence intervals within his distribution-fr...ee model. We generalise his formulae by allowing for arbitrary exponents in the variance assumption. Our formula is also capable of giving a con dence interval of the amount that the insurer is liable to pay each year.show more

File	FileType	Size	Views	Description
JMI2009A-2	pdf	180 KB	181

Record ID	13969
Peer-Reviewed	Refereed
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	学術雑誌論文
Created Date	2009.10.20
Modified Date	2019.08.29