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CAS Exam 7 Study Notes: Testing Assumption of the Chain Ladder Method
2018-04-08
I've uploaded my study notes on the topic of testing assumption underlying the chain ladder method. These notes are based on a combination of two closely-related papers, Measuring the Variability of Chain Ladder Reserve Estimates by Thomas Mack, and Testing the Assumptions of Age-to-Age Factors by Gary Venter. The topics addressed include testing the variance assumption underlying the method, testing for calendar year or accident year correlations, and comparing the "direct linear relationship" assumption of the chain ladder method against alternative emergence patterns, such as a linear-plus-constant pattern or a Bornhuetter-Ferguson or Cape Cod emergence pattern.
Keywords: Actuarial Science, Exam 7, Study Note