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dc.contributor.authorTaylor, Gregen_US
dc.date.accessioned2014-05-22T09:48:42Z
dc.date.available2014-05-22T09:48:42Z
dc.date.issued2002-01en_US
dc.date.submitted2002-09-06en_US
dc.identifier.citationTaylor, Greg (2002) Further Observations on Chain Ladder Bias.en_US
dc.identifier.urihttp://hdl.handle.net/11343/33674
dc.description.abstractThe 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.en_US
dc.formatapplication/pdfen_US
dc.languageengen_US
dc.relation.isversionofhttp://www.economics.unimelb.edu.au/actwww/no93.pdfen_US
dc.subjectchain ladderen_US
dc.subjectloss reserveen_US
dc.titleFurther Observations on Chain Ladder Biasen_US
dc.typePreprinten_US
melbourne.peerreviewNon Peer Revieweden_US
melbourne.affiliation.departmentEconomics and Commerce: Centre for Actuarial Studiesen_US
melbourne.source.month01en_US
melbourne.elementsidNA
melbourne.contributor.authorTAYLOR, GREGORY
melbourne.accessrightsOpen Access


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