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Mack the chain ladder predictor of ultimate aggregate claims is unbiased but shares this property with many other predictors (Section 6). Optimality of the chain ladder
We also present a model in which the chain ladder predictor of ultimate aggregate claims turns out to be unbiased. 1. INTRODUCTION . The chain ladder method is a simple and suggestive tool in claims reserving, and vari- ous attempts have been made aiming at its justification in a stochastic model.
Over the past twenty years many actuaries have claimed and argued that the chain-ladder method of loss reserving is biased; nonetheless, the chain-ladder method remains the favorite tool of reserving actuaries. Nearly everyone who acknowledges this bias believes it to be upward.
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
the chain ladder technique and extend the range of the powible analyses. By bringing the methods within a statistical framework, a coherent strategy for testing goodness of tit and for forecasting outstanding claims is produced. Improvements to the basic chain ladder technique are given which
- 1MB
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We propose a new estimator for the ultimate prediction uncertainty within the famous Mack’s distribution-free chain-ladder model, which can be proved to be unbiased (conditionally given the first triangle column) under some additional technical assumptions.
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Is the chain ladder predictor unbiased?
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Is the chain ladder forecast biased upward?
Nov 1, 1996 · We also present a model in which the chain ladder predictor of ultimate aggregate claims turns out to be unbiased. Abstract 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.
