PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

WHEN CAN ACCIDENT YEARS BE REGARDED AS DEVELOPMENT YEARS? 253cross classification models (with different assumptions aboutvariance), so they generally share the problem of overparameterizationin the development and accident year directions, andignore the relationships between adjacent year levels. Further, althoughthe correspondence isn’t exact, there is generally a strongsimilarity between forecasts (on the incremental scale) and thetransposed-forecasted-transposed forecasts. This is hardly surprising,since other ratios may be written as weighted versionsof the chain ladder; the transposing merely results in a differentlyweighted version of a method that is transpose-invariant.