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1. actuaries.org › LIBRARY › ASTINCHAIN LADDER BIAS - actuaries.org

   actuaries.org › LIBRARY › ASTIN

   pendent, the forecast is no longer unbiased. Section 5 shows that, under rather general assumptions, it is biased upward. This result is linked to earlier work on some stochastic versions of the chain ladder. KEYWORDS Chain ladder, IBNR. 1. INTRODUCTION The chain ladder (CL) approach to estimation of a loss reserve is well known.

2. www.cambridge.org › core › journalsChain Ladder Bias | ASTIN Bulletin: The Journal of the IAA ...

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   Apr 17, 2021 · If all cells are assumed stochastically independent, the forecast is no longer unbiased. Section 5 shows that, under rather general assumptions, it is biased upward. This result is linked to earlier work on some stochastic versions of the chain ladder.

   • Author: Greg Taylor

   • Publish Year: 2003

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

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

   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. Although supporting these claims and beliefs, the author proposes herein to deal with two deeper issues. First, does some ...

5. www.researchgate.net › 250133032_Chain_Ladder_Bias(PDF) Chain Ladder Bias - ResearchGate

   www.researchgate.net › 250133032_Chain_Ladder_Bias

   Nov 1, 2003 · 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 ...

6. scholar.archive.org › work › 2mdzdnziizdevbcyl76c5e2jaqChain Ladder Bias - Internet Archive Scholar

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   If all cells are assumed stochastically independent, the forecast is no longer unbiased. Section 5 shows that, under rather general assumptions, it is biased upward. This result is linked to earlier work on some stochastic versions of the chain ladder.

7. 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. ... it is biased upward. This result is linked to earlier work on some stochastic versions of ...

8. People also ask

   Is the chain ladder forecast unbiased?

   • 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 on those from preceding development years of the same accident year.

   Chain Ladder Bias | ASTIN Bulletin: The Journal of the IAA | Cambridge C…

   www.cambridge.org/core/journals/astin-bulletin-journal-of-the-iaa/article/chain-ladder-bias/CC7768F29B3A15FB3AA3F41C0DB32ADE

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   Does a chain ladder have a prediction bias?

   • A simulation test of prediction bias in the chain ladder and other models was carried out by Stanard (1985). One of his experiments dealt with the case in which the total number of claims in an accident year is a Poisson variate and is multinomially distributed over development years.

   CHAIN LADDER BIAS - Actuaries

   actuaries.org/LIBRARY/ASTIN/vol33no2/313.pdf

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   Is the chain-ladder method of loss reserving biased?

   • 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.

   Chain-Ladder Bias: Its Reason and Meaning - Casualty Actuarial Society

   www.casact.org/sites/default/files/2021-07/Chain-Ladder-Bias-Halliwell.pdf

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   What is chain-ladder bias?

   • These two issues constitute the reason and meaning of chain-ladder bias. 1. Introduction The chain-ladder method is a common tech-nique whereby actuaries develop losses from a less mature present to a more mature future.

   Chain-Ladder Bias: Its Reason and Meaning - Casualty Actuarial Society

   www.casact.org/sites/default/files/2021-07/Chain-Ladder-Bias-Halliwell.pdf

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   Will the chain-ladder method overpredict this triangle?

   • If we conclude that the chain-ladder method will overpredict this triangle (and we will), we should not be lulled into thinking that the actual ultimate losses will (with 100% probability) be less than the chain-ladder ultimates, whether by accident year or by total.

   Chain-Ladder Bias: Its Reason and Meaning - Casualty Actuarial Society

   www.casact.org/sites/default/files/2021-07/Chain-Ladder-Bias-Halliwell.pdf

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   What is a chain ladder estimator?

   • The chain ladder (CL) approach to estimation of a loss reserve is well known. It is described, for example, by Taylor (2000). Its origins are not altogether clear, but it seems likely that it originated as a heuristic device. As such, it may be viewed as a non-parametric estimator. The precise definition is given in Sections 2 and 3.

   CHAIN LADDER BIAS - Actuaries

   actuaries.org/LIBRARY/ASTIN/vol33no2/313.pdf

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9. www.casact.org › abstract › chain-ladder-bias-itsChain-Ladder Bias: Its Reason and Meaning | Casualty ...

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   Abstract. 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.