4 citations · 7 across the 2 of their papers we have counts for
2 papers
q-fin.RM2023★ 4 cited
Mack's estimator motivated by large exposure asymptotics in a compound Poisson setting
Nils Engler, Filip Lindskog
The distribution-free chain ladder of Mack justified the use of the chain ladder predictor and enabled Mack to derive an estimator of conditional mean squared error of prediction f…
econ.GN2023★ 3 cited
Approximations of multi-period liability values by simple formulas
Nils Engler, Filip Lindskog
This paper is motivated by computational challenges arising in multi-period valuation in insurance. Aggregate insurance liability cashflows typically correspond to stochastic payme…