Asymptotic consistency and inconsistency of the chain ladder

The distribution-free chain ladder reserving method belongs to the most frequently used approaches in general insurance. It is well known, see Mack (1993), that the estimators f̂j of the development factors are unbiased and mutually uncorrelated under some mild conditions on the mean structure and u...

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Veröffentlicht in:	Insurance, mathematics & economics mathematics & economics, 2012-09, Vol.51 (2), p.472-479
Hauptverfasser:	Pesta, Michal, Hudecová, Sárka
Format:	Artikel
Sprache:	eng
Schlagworte:	Asymptotic methods Asymptotic properties Chain ladder Claims reserving Development factors Development financing Estimating techniques Estimation IM10 IM20 Insurance Insurance claims Mathematical economics Simulation Studies
Online-Zugang:	Volltext
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