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    Further Observations on Chain Ladder Bias

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    Further Observations on Chain Ladder Bias (849.7Kb)

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    Author
    Taylor, Greg
    Date
    2002-01
    University of Melbourne Author/s
    TAYLOR, GREGORY
    Affiliation
    Economics and Commerce: Centre for Actuarial Studies
    Metadata
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    Document Type
    Preprint
    Citations
    Taylor, Greg (2002) Further Observations on Chain Ladder Bias.
    Access Status
    Open Access
    URI
    http://hdl.handle.net/11343/33674
    Abstract
    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 reserve

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