Comments on: “A comparison of stochastic models that reproduce chain ladder reserve estimates”, by Mack and Venter

A comparison of stochastic models that r

A comparison of stochastic models that reproduce chain ladder reserve estimates

✍ Thomas Mack; Gary Venter 📂 Article 📅 2000 🏛 Elsevier Science 🌐 English ⚖ 66 KB

It is shown that the (over-dispersed) Poisson model is not the same as the distribution-free chain ladder model of Mack (Distribution-free calculation of the standard error of chain ladder reserve estimates, ASTIN Bulletin 23 (1993) 213-225) although both reproduce the historical chain ladder estima