Yahoo Canada Web Search

Search results

1. theactuarialclub.com › 2019/05/17 › chain-ladderChain Ladder Method (CLM): the most common reserving method ...

   theactuarialclub.com › 2019/05/17 › chain-ladder

   • Cached

   May 17, 2019 · The chain ladder method (clm) calculates incurred but not reported (IBNR) loss estimates, using run-off triangles of paid losses and incurred losses, representing the sum of paid losses and case reserves.

2. actuaries.org › IAA › DocumentsRisk Flow Patterns in the Chain Ladder Model - actuaries

   actuaries.org › IAA › Documents

   A chain ladder process is a discrete-time, real-valued stochastic process fXj > 0g 0, such that for each j > 0. j. E [XjjXj 1; : : : ; X0] = fj Xj 1; V [XjjXj 1; : : : ; X0] = j Xj 1. with parameters fj > 0 (development factors) and j 0. Standard estimators from loss triangle, 1 j J: ^fj CIj;j. := ; CIj;j 1.

3. www.actuaries.org.uk › system › filesTHE CHAIN LADDER TECHNIQUE — A STOCHASTIC MODEL

   www.actuaries.org.uk › system › files

   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.

4. www.actuaries.org.uk › documents › chainladder-andChain Ladder and Bornhuetter/Ferguson – Some Practical Aspects

   www.actuaries.org.uk › documents › chainladder-and

   Chain Ladder and Bornhuetter/Ferguson So far, we have not used any assumptions. But for Var(Ck), Cov(Ck,R) we need a model. Model A: (with U = Cn) E(Ck|U) = pkU, Var(Ck|U) = pkqkα2(U) => Var(Ck) = pkqkE(α2(U)) + pk2Var(U) Cov(Ck,R) = pkqk ( Var(U) – E(α2(U)) ) But E(α2(U)) is difficult to estimate.

5. www.cambridge.org › core › journalsAn Extension of Mack's Model for the Chain Ladder Method

   www.cambridge.org › core › journals

   • Cached

   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.

6. www.casact.org › sites › defaultFlexible Factor Chain Ladder Model - Casualty Actuarial Society

   www.casact.org › sites › default

   The purpose of this paper is to bridge the gap between the stochastic underpinnings of the chain ladder method and its implementation in practice, i.e., when link ratios are selected based on judgment. We present a general chain ladder model that fulfills two key requirements:

7. People also ask

   What is a regression model equivalent to the chain ladder method?

   • A regression model equivalent to the chain ladder method is I 1 i . This model is similar to the model proposed by Mack and Murphy , with a more general and, as we shall see, more flexible error assumption (1).

   Flexible Factor Chain Ladder Model - Casualty Actuarial Society

   www.casact.org/sites/default/files/database/forum_09sumforum_01_murphy.pdf

   See all results for this question

   Can a stochastic model justify the chain-ladder method?

   • In its origin, it is nothing else than a heuristic and appealing algorithm. 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.

   A comparison of models for the chain–ladder method☆

   www.sciencedirect.com/science/article/pii/S0167668702001609

   See all results for this question

   Are C21 and CS1 generated by the same mechanism?

   • C21,...,Cs1are generated by the same mechanism. The chain ladder technique explicitly assumes that the mechanisms generating incremental paid losses Cij, C21,...,C are sos1unrelated that pooling of the inf rmation does not afford any increased efficiency. I would find it very diffi ult to believe that this assumption is evertrue. In any ca e,

   THE CHAIN LADDER TECHNIQUE — A STOCHASTIC MODEL

   www.actuaries.org.uk/system/files/documents/pdf/crm2-D1.pdf

   See all results for this question

   What is the chain-ladder method?

   • The idea of the chain–ladder method is to replace the non-observable individual development factors by weighted means of the observable individual development factors to obtain predictors of the non-observable aggregate claims or estimators of their expectations.

   A comparison of models for the chain–ladder method☆

   www.sciencedirect.com/science/article/pii/S0167668702001609

   See all results for this question

8. www.sciencedirect.com › science › articleA comparison of models for the chain–ladder method

   www.sciencedirect.com › science › article

   Dec 20, 2002 · The chain–ladder method is the most popular method of loss reserving. In its origin, it is nothing else than a heuristic and appealing algorithm. The question arises why or under which conditions the chain–ladder method should be applied or not.