Year: 1996
Type: article
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. Remarkable progress has been achieved by Schnieper and Mack who considered models involving assumptions on conditional distributions. The present paper extends the model of Mack and proposes a basic model in a decision theoretic setting. 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. We also present a model in which the chain ladder predictor of ultimate aggregate claims turns out to be unbiased.
Source: Astin Bulletin
Authors: Klaus D. Schmidt, Anja Schnaus
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W2106399863