Back-testing the chain-ladder method

Andrea Gabrielli and Mario V. Wüthrich

Annals of Actuarial Science, 2019, vol. 13, issue 2, 334-359

Abstract: The chain-ladder method is one of the most popular claims reserving techniques. The aim of this study is to back-test the chain-ladder method. For this purpose, we use a stochastic scenario generator that allows us to simulate arbitrarily many upper claims reserving triangles of similar characteristics for which we also know the corresponding lower triangles. Based on these simulated triangles, we analyse the performance of the chain-ladder claims reserving method.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:13:y:2019:i:02:p:334-359_00

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