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

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

This note contains a discussion of the paper of Mack and Venter (2000), and also refers to the paper of Verrall (2000). The issue is the relationship between the over-dispersed Poisson model of Renshaw and Verrall (1998), the distribution-free stochastic model of Mack (1993) and the chain-ladder tec...

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Veröffentlicht in:Insurance, mathematics & economics mathematics & economics, 2000-02, Vol.26 (1), p.109-111
Hauptverfasser: Verrall, R.J, England, P.D
Format: Artikel
Sprache:eng
Schlagworte:
Algorithms
Criticism
Economic theory
Methods
Stochastic models
Studies
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Zusammenfassung:This note contains a discussion of the paper of Mack and Venter (2000), and also refers to the paper of Verrall (2000). The issue is the relationship between the over-dispersed Poisson model of Renshaw and Verrall (1998), the distribution-free stochastic model of Mack (1993) and the chain-ladder technique.
ISSN:0167-6687
1873-5959
DOI:10.1016/S0167-6687(99)00040-2