Hi All,
This is my first attempt to 7 and the material are much more technical than I thought. Here I get some questions regarding this paper and hope to have your kind help.
What confuse me are the U0 and U. The proofs of all formula appear nice to me until the numerical example. In that case, Mack estimate the Var(U) by assuming a distribution of U. What I thought is, if we are able to estimate U, what is the point of making all the discussion in this paper? We can refer to the distribution of U for all the percentiles, confidence interval, TVaR, etc.
In practical sense, I don't think it is easy to distinguish between U0 and U. So actuaries normally set them the same?
Many Thanks!
This is my first attempt to 7 and the material are much more technical than I thought. Here I get some questions regarding this paper and hope to have your kind help.
What confuse me are the U0 and U. The proofs of all formula appear nice to me until the numerical example. In that case, Mack estimate the Var(U) by assuming a distribution of U. What I thought is, if we are able to estimate U, what is the point of making all the discussion in this paper? We can refer to the distribution of U for all the percentiles, confidence interval, TVaR, etc.
In practical sense, I don't think it is easy to distinguish between U0 and U. So actuaries normally set them the same?
Many Thanks!
Mack's paper on Bentander method
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