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1. link.springer.com › chapter › 10Chain Ladder Method (Models) - SpringerLink

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   Oct 28, 2016 · In the chain ladder model of Schnaus, all modified chain ladder predictors are unbiased. This raises the question of whether there is another quality that distinguishes the chain ladder predictors of a given future cumulative loss at least from all other modified chain ladder predictors of the same cumulative loss.

   • Author: Klaus Th. Hess, Klaus D. Schmidt, Anja Schnaus

   • Publish Year: 2016

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

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   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 aggregate claims at the end of the first non-observable calendar year.

   • Author: Klaus D. Schmidt, Anja Schnaus

   • Publish Year: 1996

3. www.casact.org › Chain-Ladder-Bias-HalliwellChain-Ladder Bias: Its Reason and Meaning

   www.casact.org › Chain-Ladder-Bias-Halliwell

   chain-ladder bias The issue of chain-ladder bias was raised by James N. Stanard in his 1985 Proceedings pa-per, “A Simulation Test of Prediction Errors of Loss Reserve Estimation Techniques” [15]. Sta-nard simulated thousands of (5£5)2 loss rectan-gles,appliedfourprojectionmethods(viz.,chain-ladder or age-to-age, Bornhuetter-Ferguson,

4. www.researchgate.net › publication › 222262755_AA comparison of models for the chain–ladder method

   www.researchgate.net › publication › 222262755_A

   Dec 1, 2002 · A particularly interesting model was proposed by Mack (1993, 1994a,b): Under the assumptions of his model, Mack proved that the chain ladder predictors of non-observable aggregate claims are ...

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

   www.sciencedirect.com › science › article

   Dec 20, 2002 · The comparison results in a flow chart for model selection which may help to decide in a specific situation whether the chain–ladder method should be applied or not. 1. Introduction. 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.

   • Author: Klaus Th. Hess, Klaus D. Schmidt

   • Publish Year: 2002

6. www.researchgate.net › publication › 228786245_Chain(PDF) Chain Ladder Forecast Efficiency - ResearchGate

   www.researchgate.net › publication › 228786245_Chain

   Sep 1, 2009 · The chain ladder forecast of outstanding losses is known to be unbiased under suitable assumptions. According to these assumptions, claim payments in any cell of a payment triangle are dependent ...

7. People also ask

   Are modified chain ladder predictors unbiased?

   • We now examine, under the assumptions of certain models and for a given future cumulative loss, unbiasedness of the modified chain ladder predictors and optimality of the chain ladder predictors within the class of all modified chain ladder predictors. The chain ladder model of Mack consists of the following assumptions: Chain Ladder Model of Mack:

   Chain Ladder Method (Models) | SpringerLink

   link.springer.com/chapter/10.1007/978-3-319-30056-6_7

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   Can a chain ladder be used in a stochastic model?

   • 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.

   An Extension of Mack's Model for the Chain Ladder Method

   www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/an-extension-of-macks-model-for-the-chain-ladder-method/38DC636427FD77C6CEEA1B51F5300B78

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   Are chain ladder factors a predictor of non-observable development factors?

   • 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 aggregate claims at the end of the first non-observable calendar year.

   An Extension of Mack's Model for the Chain Ladder Method

   www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/an-extension-of-macks-model-for-the-chain-ladder-method/38DC636427FD77C6CEEA1B51F5300B78

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   How can a chain ladder method be modified?

   • The chain–ladder method may be modified by letting F ˆ k: = ∑ j = 0 n - k W j, k F j, k, where each weight Wj,k is obtained by a measurable transformation of the observable incremental claims from development years 0,1,…, k −1.

   A comparison of models for the chain–ladder method☆

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

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   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.researchgate.net/publication/222262755_A_comparison_of_models_for_the_chain-ladder_method

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   How to estimate the expected ultimate losses in the chain ladder model?

   • To estimate the expected ultimate losses in the chain ladder model of Mack, one may thus use the marginal sum method.

   Chain Ladder Method (Models) | SpringerLink

   link.springer.com/chapter/10.1007/978-3-319-30056-6_7

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8. actuaries.org › LIBRARY › ASTINAN EXTENSION OF MACK'S MODEL FOR THE CHAIN LADDER METHOD

   actuaries.org › LIBRARY › ASTIN

   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. Remar-