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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
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 predictor of ultimate aggregate claims remains an open problem. Throughout this paper, let (fL 7, P) be a probability space.
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
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.
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.
Jan 1, 2021 · The model allows to characterize optimality of the chain ladder factors as predictors of non-observable development factors and hence optimality of the chain ladder predictors of...
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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.
