Additivity of Chain-Ladder Projections

Björn Ajne

ASTIN Bulletin, 1994, vol. 24, issue 2, 311-318

Abstract: In this paper some results are given on the addivity of chain-ladder projections. Given two claims development triangles, when do their chain-ladder projections add up to the projections of the combined triangle, that is the triangle being the element-wise sum of the two given triangles? Necessary and sufficient conditions for equality are given. These are of a fairly simply form and are directly connected to the ordinary chain-ladder calculations. In addition, sufficient conditions of the same form are given for inequality between the combined projection vector and the sum of the two original projections vectors.

Date: 1994
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