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Old 12-11-2019, 08:25 PM
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AbedNadir AbedNadir is offline
Join Date: Mar 2014
Studying for FCAS
Posts: 2,848

Originally Posted by trueblade View Post
Mack 1994 is bothering me.

on pg.112, Mack states

The fact that the chain ladder estimator uses weights which are proportional to ��jk therefore means that ��jk is assumed to be inversely proportional to ������(Cj,k+1/Cjk|Cj1,...,Cjk)

I don't get how he came up with this conclusion. Why does the weight in the CL estimator imply Cjk is inversely proportional to the variance of the future development factor?
It's derived in appendix B
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