One-Year and Total Run-Off Reserve Risk Estimators Based on Historical Ultimate Estimates
By Filippo Siegenthaler
This paper presents closed-form formulas in order to estimate, based on the historical triangle of ultimate estimates, both the one-year and the total run-off reserve risk. This is helpful in case (as is often usual in practice) the reserve risk formulas related to the applied reserving methodology are unknown or in case such formulas cannot be rigorously derived since a fully well-defined stochastic model supporting the reserving methodology is missing (e.g., due to mixing of reserving methods).
Keywords: Reserve risk, mean square error of prediction, one-year prediction uncertainty, total run-off prediction uncertainty, ultimate estimates