The chain ladder method is a popular heuristic used to estimate ultimate losses. This report, based on “Measuring the Variability of Chain Ladder Reserve Estimates” by Thomas Mack, will present how the method works, its underlying assumptions, and how these can be combined to create reserves and ultimate losses confidence intervals based on the variability of chain ladder estimations. This confidence interval also allows the chain ladder method to be compared to other methods, and provide greater certainty for those methods.

• This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.

Creator

• Bradlee, Noah M.

Publisher

• Worcester Polytechnic Institute

Identifier

• E-project-040621-134942
• 17166

Mot-clé

• Chain Ladder Method
• Confidence Interval

Advisor

• Abraham, Jon P.
• Posterro, Barry John

Year

• 2021

Date created

• 2021-04-06

Resource type

• Major Qualifying Project

Major

• Actuarial Mathematics

Rights statement

• In Copyright

Dernière modification

• 2021-05-03