Asymptotic Consistency and Inconsistency of the Chain Ladder

One Year Prospective- in the classical claims reserving, one usually studiesthe total uncertainty in the claims developmentuntil the total ultimate claim is finally settled- Solvency II purposes- run-off = opening balance – expenses – closingbalance- we predict the total ultimate claim at time n (withthe available information up to time n), and oneperiod later at time n + 1 we predict the same totalultimate claim with the updated informationavailable at time n + 1- difference between these two successivepredictions is the claims development result (CDR)for accounting year (n, n + 1]