Abstract
AbstractIn recent Solvency II considerations much effort has been put into the development of appropriate models for the study of the one-year loss reserving uncertainty in non-life insurance. In this article we derive formulas for the conditional mean square error of prediction of the one-year claims development result in the context of the Bayes chain ladder model studied in Gisler-Wüthrich. The key to these formulas is a recursive representation for the results obtained in Gisler-Wüthrich.
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