Asymptotic Consistency and Inconsistency of the Chain Ladder
Asymptotic Consistency and Inconsistency of the Chain Ladder
Asymptotic Consistency and Inconsistency of the Chain Ladder
You also want an ePaper? Increase the reach of your titles
YUMPU automatically turns print PDFs into web optimized ePapers that Google loves.
CDR- a direct impact on <strong>the</strong> P&L statement <strong>and</strong> on <strong>the</strong>financial strength <strong>of</strong> <strong>the</strong> insurance company- CDR for accident year i <strong>and</strong> accounting year(n, n + 1]CDR i (n + 1) = E[C i,n |D (n) ] − E[C i,n |D n+1 ]where= E[R (n)i|D (n) ] − (X i,n+2−i + E[R n+1i|D n+1 ])D (n) = {C i,j : i + j ≤ n + 1}D n+1 = {C i,j : i + j ≤ n + 2 & i ≤ n + 1}R (n)iRin+1= D (n) ∪ {C i,n+2−i : i ≤ n + 1}= C i,n − C i,n+1−i= C i,n − C i,n+2−i
Change language