zbMATH — the first resource for mathematics

The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor. (English) Zbl 1277.62256
Summary: In 1993, the author derived a formula for the standard error or chain ladder reserve estimates. 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.

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
PDF BibTeX Cite
Full Text: DOI
[1] DOI: 10.2143/AST.23.2.2005092
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.