scholarly journals Credible Claims Reserves: the Benktander Method

2000 ◽  
Vol 30 (2) ◽  
pp. 333-347 ◽  
Author(s):  
Thomas Mack
Keyword(s):  
Stochastic Model ◽  
Mean Squared Error ◽  
The Other ◽  
Bayesian Procedure ◽  
Mean Squared Errors ◽  
Squared Error ◽  
The Mean ◽  
Chain Ladder ◽  
Simple Stochastic Model

AbstractA claims reserving method is reviewed which was introduced by Gunnar Benktander in 1976. It is a very intuitive credibility mixture of Bornhuetter/Ferguson and Chain Ladder. In this paper, the mean squared errors of all 3 methods are calculated and compared on the basis of a very simple stochastic model. The Benktander method is found to have almost always a smaller mean squared error than the other two methods and to be almost as precise as an exact Bayesian procedure.

A BIFURCATION APPROACH FOR ATTRITIONAL AND LARGE LOSSES IN CHAIN LADDER CALCULATIONS

2013 ◽  
Vol 44 (1) ◽  
pp. 127-172 ◽  
Author(s):  
Ulrich Riegel
Keyword(s):  
Stochastic Model ◽  
Mean Squared Error ◽  
Third Party ◽  
Long Tail ◽  
Squared Error ◽  
The Mean ◽  
Chain Ladder

AbstractWe introduce a stochastic model for the development of attritional and large claims in long-tail lines of business and present a corresponding “chain ladder-like” IBNR method which allows the use of claims payment data for attritional and claims incurred data for large losses. We derive formulas for the mean squared error of prediction and apply the method to a German motor third party liability portfolio.

Credible Loss Ratio Claims Reserves: the Benktander, Neuhaus and Mack Methods Revisited

2009 ◽  
Vol 39 (1) ◽  
pp. 81-99 ◽  
Author(s):  
Werner Hürlimann
Keyword(s):  
Mean Squared Error ◽  
Cape Cod ◽  
Loss Ratio ◽  
New Approach ◽  
Standard Methods ◽  
Straightforward Calculation ◽  
Mean Squared Errors ◽  
Squared Error ◽  
The Mean ◽  
Chain Ladder

AbstractThe Benktander (1976) and Neuhaus (1992) credibility claims reserving methods are reconsidered in the framework of a credible loss ratio reserving method. As a main contribution we provide a simple and practical optimal credibility weight for combining the chain-ladder or individual loss ratio reserve (grossed up latest claims experience of an origin period) with the Bornhuetter-Ferguson or collective loss ratio reserve (experience based burning cost estimate of the total ultimate claims of an origin period). The obtained simple optimal credibility weights minimize simultaneously the mean squared error and the variance of the claims reserve. We note also that the standard Chain-Ladder, Cape Cod and Bornhuetter-Ferguson methods can be reinterpreted in the credible context and extended to optimal credible standard methods. The new approach is inspired from Mack (2000). Two advantages over the Mack method are worthwhile to be mentioned. First, a pragmatic estimation of the required parameters leads to a straightforward calculation of the optimal credibility weights and mean squared errors of the credible reserves. An advantage of the collective loss ratio claims reserve over the Bornhuetter-Ferguson reserve in Mack (2000) is that different actuaries come always to the same results provided they use the same actuarial premiums.

A GENERALIZED LOSS RATIO METHOD DEALING WITH UNCERTAIN VOLUME MEASURES

2018 ◽  
Vol 48 (02) ◽  
pp. 699-747
Author(s):  
Ulrich Riegel
Keyword(s):  
Mean Squared Error ◽  
Ratio Method ◽  
Loss Ratio ◽  
Prediction Uncertainty ◽  
Optimal Weights ◽  
Squared Error ◽  
The Mean ◽  
Chain Ladder

AbstractUnlike chain ladder, the loss ratio method requires volume measures. Typically, these volumes are assumed to be known. In practice, however, accurate volume measures are rarely available. We interpret the available volumes as estimators for the true volume measures and analyze the consequences for the loss ratio method. In particular, we calculate the mean squared error of prediction, including uncertainty of volume measures, and derive approximately optimal weights for the observed incremental loss ratios. We then introduce a generalization of the loss ratio method that is tailored to the situation of uncertain volume measures and calculate the prediction uncertainty of this generalized loss ratio method.

scholarly journals Thematic Maps for the Variation of Bearing Capacity of Soil Using SPTs and MATLAB

Geosciences ◽  
2020 ◽  
Vol 10 (9) ◽  
pp. 329
Author(s):  
Mahdi O. Karkush ◽  
Mahmood D. Ahmed ◽  
Ammar Abdul-Hassan Sheikha ◽  
Ayad Al-Rumaithi
Keyword(s):  
Bearing Capacity ◽  
Mean Squared Error ◽  
Ground Level ◽  
The Other ◽  
Thematic Maps ◽  
First Order ◽  
Squared Error ◽  
Order Polynomial ◽  
Interpolation Polynomials ◽  
Penetration Tests

The current study involves placing 135 boreholes drilled to a depth of 10 m below the existing ground level. Three standard penetration tests (SPT) are performed at depths of 1.5, 6, and 9.5 m for each borehole. To produce thematic maps with coordinates and depths for the bearing capacity variation of the soil, a numerical analysis was conducted using MATLAB software. Despite several-order interpolation polynomials being used to estimate the bearing capacity of soil, the first-order polynomial was the best among the other trials due to its simplicity and fast calculations. Additionally, the root mean squared error (RMSE) was almost the same for the all of the tried models. The results of the study can be summarized by the production of thematic maps showing the variation of the bearing capacity of the soil over the whole area of Al-Basrah city correlated with several depths. The bearing capacity of soil obtained from the suggested first-order polynomial matches well with those calculated from the results of SPTs with a deviation of ±30% at a 95% confidence interval.

The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution

2006 ◽  
Vol 25 (1) ◽  
pp. 117-138 ◽  
Author(s):  
Fernanda P. M. Peixe ◽  
Alastair R. Hall ◽  
Kostas Kyriakoulis
Keyword(s):  
Instrumental Variables ◽  
Mean Squared Error ◽  
Elliptical Distribution ◽  
Squared Error ◽  
The Mean

Computing trade-offs in robust design: Perspectives of the mean squared error

2011 ◽  
Vol 60 (2) ◽  
pp. 248-255 ◽  
Author(s):  
Sangmun Shin ◽  
Funda Samanlioglu ◽  
Byung Rae Cho ◽  
Margaret M. Wiecek
Keyword(s):  
Robust Design ◽  
Mean Squared Error ◽  
Squared Error ◽  
Trade Offs ◽  
The Mean

scholarly journals Day-Ahead Forecasting of Hourly Photovoltaic Power Based on Robust Multilayer Perception

2018 ◽  
Vol 10 (12) ◽  
pp. 4863 ◽  
Author(s):  
Chao Huang ◽  
Longpeng Cao ◽  
Nanxin Peng ◽  
Sijia Li ◽  
Jing Zhang ◽  
...  
Keyword(s):  
Power Plants ◽  
Mean Squared Error ◽  
Absolute Error ◽  
Multilayer Perception ◽  
Squared Error ◽  
The Mean ◽  
Effectiveness And Efficiency ◽  
Mlp Network ◽  
Grid Operation ◽  
Better Than

Photovoltaic (PV) modules convert renewable and sustainable solar energy into electricity. However, the uncertainty of PV power production brings challenges for the grid operation. To facilitate the management and scheduling of PV power plants, forecasting is an essential technique. In this paper, a robust multilayer perception (MLP) neural network was developed for day-ahead forecasting of hourly PV power. A generic MLP is usually trained by minimizing the mean squared loss. The mean squared error is sensitive to a few particularly large errors that can lead to a poor estimator. To tackle the problem, the pseudo-Huber loss function, which combines the best properties of squared loss and absolute loss, was adopted in this paper. The effectiveness and efficiency of the proposed method was verified by benchmarking against a generic MLP network with real PV data. Numerical experiments illustrated that the proposed method performed better than the generic MLP network in terms of root mean squared error (RMSE) and mean absolute error (MAE).

scholarly journals On double stage minimax-shrinkage estimator for generalized Rayleigh model

2016 ◽  
Vol 5 (1) ◽  
pp. 39 ◽  
Author(s):  
Abbas Najim Salman ◽  
Maymona Ameen
Keyword(s):  
Sample Size ◽  
Shape Parameter ◽  
Mean Squared Error ◽  
Scale Parameter ◽  
Rayleigh Distribution ◽  
Shrinkage Estimator ◽  
Squared Error ◽  
Expected Sample Size ◽  
Generalized Rayleigh Distribution ◽  
The Mean

<p>This paper is concerned with minimax shrinkage estimator using double stage shrinkage technique for lowering the mean squared error, intended for estimate the shape parameter (a) of Generalized Rayleigh distribution in a region (R) around available prior knowledge (a<sub>0</sub>) about the actual value (a) as initial estimate in case when the scale parameter (l) is known .</p><p>In situation where the experimentations are time consuming or very costly, a double stage procedure can be used to reduce the expected sample size needed to obtain the estimator.</p><p>The proposed estimator is shown to have smaller mean squared error for certain choice of the shrinkage weight factor y(<strong>×</strong>) and suitable region R.</p><p>Expressions for Bias, Mean squared error (MSE), Expected sample size [E (n/a, R)], Expected sample size proportion [E(n/a,R)/n], probability for avoiding the second sample and percentage of overall sample saved  for the proposed estimator are derived.</p><p>Numerical results and conclusions for the expressions mentioned above were displayed when the consider estimator are testimator of level of significanceD.</p><p>Comparisons with the minimax estimator and with the most recent studies were made to shown the effectiveness of the proposed estimator.</p>

scholarly journals Performance Analysis of AOA-Based Localization Using the LS Approach: Explicit Expression of Mean-Squared Error

2020 ◽  
Vol 2020 ◽  
pp. 1-22
Author(s):  
Byung-Kwon Son ◽  
Do-Jin An ◽  
Joon-Ho Lee
Keyword(s):  
Explicit Expression ◽  
Mean Squared Error ◽  
Weighted Least Squares ◽  
Localization Algorithm ◽  
Angle Of Arrival ◽  
Squared Error ◽  
Distance Weighted ◽  
The Mean ◽  
Passive Localization ◽  
Location Estimate

In this paper, a passive localization of the emitter using noisy angle-of-arrival (AOA) measurements, called Brown DWLS (Distance Weighted Least Squares) algorithm, is considered. The accuracy of AOA-based localization is quantified by the mean-squared error. Various estimates of the AOA-localization algorithm have been derived (Doğançay and Hmam, 2008). Explicit expression of the location estimate of the previous study is used to get an analytic expression of the mean-squared error (MSE) of one of the various estimates. To validate the derived expression, we compare the MSE from the Monte Carlo simulation with the analytically derived MSE.

scholarly journals Comparison of different lactation curve models in Holstein cows raised on a farm in the south-eastern Anatolia region

2008 ◽  
Vol 51 (4) ◽  
pp. 329-337
Author(s):  
Ö. Koçak ◽  
B. Ekiz
Keyword(s):  
Milk Yield ◽  
Goodness Of Fit ◽  
Mean Squared Error ◽  
Exponential Model ◽  
Eastern Anatolia ◽  
Mean Squared Errors ◽  
Squared Error ◽  
Lactation Curve ◽  
Daily Milk Yield ◽  
Daily Milk

Abstract. The objective of this study was to compare the goodness of fit of seven mathematical models (including the gamma function, the exponential model, the mixed log model, the inverse quadratic polynomial model and their various modifications) on daily milk yield records. The criteria used to compare models were mean R2, root mean squared errors (RMSE) and difference between actual and predicted lactation milk yields. The effect of lactation number on curve parameters was significant for models with three parameters. Third lactation cows had the highest intercept post-calving, greatest incline between calving and peak milk yield and greatest decline between peak milk yield and end of lactation. Latest peak production occurred in first lactation for all models, while third lactation cows had the earliest day of peak production. The R2 values ranged between 0.590 and 0.650 for first lactation, between 0.703 and 0.773 for second lactation and between 0.686 and 0.824 for third lactation, depending on the model fitted. The root mean squared error values of different models varied between 1.748 kg and 2.556 kg for first parity cows, between 2.133 kg and 3.284 kg for second parity cows and between 2.342 kg and 7.898 kg for third parity cows. Lactation milk yield deviations of Ali and Schaeffer, Wilmink and Guo and Swalve Models were close to zero for all lactations. Ali and Schaeffer Model had the highest R2 for all lactations and also yielded smallest RMSE and actual and predicted lactation milk yield differences. Wilmink and Guo and Swalve Models gave better fit than other three parameter models.

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