Year: 1994
Type: article
Abstract: In this paper some results are given on the addivity of chain-ladder projections. Given two claims development triangles, when do their chain-ladder projections add up to the projections of the combined triangle, that is the triangle being the element-wise sum of the two given triangles? Necessary and sufficient conditions for equality are given. These are of a fairly simply form and are directly connected to the ordinary chain-ladder calculations. In addition, sufficient conditions of the same form are given for inequality between the combined projection vector and the sum of the two original projections vectors.
Source: Astin Bulletin
Author: Björn Ajne
Institution: Scania (Sweden)
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2153462277