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Siegenthaler, Filippo. 2024. “A Response to Dahms’s Discussion Published in Variance Vol. 14, Issue 1, 2021.” Variance 17 (1).


In this letter we respond to the comments provided in Dahms (2021) presenting alternative views on the model proposed in Siegenthaler (2017) for describing the evolution of ultimate estimates. More specifically we question the simple example provided by Dahms which may not lead to any contradiction with respect to the Siegenthaler formulas for quantifying the prediction uncertainties. Moreover, we show that it is not appropriate to restrict themselves to the assumption gj=1 in particular when considering ultimate estimates which might be affected by (underlying) model risk.

Accepted: February 25, 2023 EDT