Mack (1994)

Question 1

Chain Ladder Implicit Assumptions

Answer 1

1. E[C_i,k+1|C_i1, … , C_ik] = C_{ik *} f_k
2. Accident years are independent
3. Var(C_i,k+1| C_i1, … , C_ik) = C_ik * a_k²