Further Observations on Chain Ladder Bias
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Author
Taylor, GregDate
2002-01University of Melbourne Author/s
TAYLOR, GREGORYAffiliation
Economics and Commerce: Centre for Actuarial StudiesMetadata
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Taylor, Greg (2002) Further Observations on Chain Ladder Bias.Access Status
Open AccessAbstract
The chain ladder forecast (CLF) has previously been shown to be biased upward. The present paper calculates the second order approximation to the magnitude of the bias, ie the Taylor series for the bias truncated at terms involving second order moments of observations. Some order relations between data triangles are obtained with respect to this second order bias. While the prediction error of the CLF, as a predictor of loss reserve, does not have zero mean, it does have zero median under certain circumstances. Some numerical consequences are explored.
Keywords
chain ladder; loss reserveExport Reference in RIS Format
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