Mack (1994) Flashcards by Katie Fargnoli

Q

Chain Ladder Implicit Assumptions

A

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

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