Demonstrates a new family of chain-ladder models, showing improved estimates of unpaid claims liability.
The models of Mack (1993) and Murphy (1994) are expanded to a continuously indexed family of chain-ladder models by broadening the variance structure of the error term. It is shown that, subject to certain restrictions, an actuary’s selected report-toreport factor can be considered the best linear unbiased estimate for some members of this family. The approach given in Murphy (1994) yields a mean square error estimate of the unpaid claim liability that is consistent with the actuary’s selections.
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Bardis et al. (2013) studied this question.
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