 previous article in this issue | next article in this issue  |
|
Document Details : Title: Chain Ladder Bias Author(s): TAYLOR, Greg Journal: ASTIN Bulletin Volume: 33 Issue: 2 Date: November 2003 Pages: 313-330 DOI: 10.2143/AST.33.2.503695 Abstract : 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. 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. |
