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Uncertainty of the claims development result in the chain ladder method

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  • Mario Wüthrich
  • Michael Merz
  • Natalia Lysenko

Abstract

Using the distribution-free chain ladder method, we estimate the total ultimate claim amounts at time I, and after updating the information, at time I+1. The observable claims development result at time I+1 for accounting year (I, I+1] is then defined to be the difference between these two successive best estimate predictions for the ultimate claim. We analyze the uncertainty of this observable claims development result.

Suggested Citation

  • Mario Wüthrich & Michael Merz & Natalia Lysenko, 2009. "Uncertainty of the claims development result in the chain ladder method," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2009(1), pages 63-84.
    • Handle: RePEc:taf:sactxx:v:2009:y:2009:i:1:p:63-84
    DOI: 10.1080/03461230801979732
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