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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.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B30 Risk theory, insurance (MSC2010)
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[1] DOI: 10.2143/AST.23.2.2005092
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