Chain Ladder Bias
University of Melbourne Author/sTAYLOR, GREGORY
AffiliationEconomics and Commerce: Centre for Actuarial Studies
CitationsTaylor, Greg (2002) Chain Ladder Bias.
Access StatusOpen Access
The chain ladder forecast of oustanding 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 6 shows that, under very general assumptions, it is biased upward. This result is linked to earlier work on some stochastic versions of the chain ladder.
Keywordschain ladder; EBNR
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