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- The chain ladder algorithm was developed as a deterministic algorithm and did not have any stochastic model underlying it. Thus the question of what model underlies that algorithm cannot be answered by historical inquiry or even by strict logical deduction. But in order to assess its prediction error, an underlying stochastic model is required.
actuaries.org/ASTIN/Colloquia/Tokyo/Mack_Venter.pdfA Comparison of Stochastic Models that Reproduce Chain Ladder ...
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The chain ladder technique (equivalently, age-to-age development factors) is one of the oldest actuarial techniques to be applied widely for estimating loss reserves.
- 395KB
- 9
Dec 20, 2002 · Because of the stochastic nature of the quantities to which the algorithm is applied, several authors have studied the question whether the chain–ladder method can be justified by a stochastic model and a statistical method related to the model.
- Klaus Th. Hess, Klaus D. Schmidt
- 2002
The chain ladder method is a simple and suggestive tool in claims reserving, and various attempts have been made aiming at its justification in a stochastic model. Remarkable progress has been achieved by Schnieper and Mack who considered models involving assumptions on conditional distributions.
- Klaus D. Schmidt, Anja Schnaus
- 1996
Jun 10, 2011 · This paper presents a statistical model underlying the chain-ladder technique. This is related to other statistical approaches to the chain-ladder technique which have been presented previously. The statistical model is cast in the form of a generalised linear model, and a quasi-likelihood approach is used.
- A.E. Renshaw, R.J. Verrall
- 1998
as the deterministic chain ladder algorithm, the questions arise whether one model is a special case of the other and whether both models can be called “underlying the chain ladder algorithm”.
It has been shown that the chain ladder model can be considered as a two-way analysis of variance. This linear model, and other linear models, can be used effectively for analysing claims data and producing estimates of expected total outstanding claims for each year of business. The methods
Dec 1, 1994 · In this note, we show that a different distribution-free stochastic model is underlying the chain ladder method, i.e. yields exactly the same claims reserves as the usual chain ladder method.
