Article ID: | iaor201530453 |
Volume: | 249 |
Issue: | 2 |
Start Page Number: | 657 |
End Page Number: | 666 |
Publication Date: | Mar 2016 |
Journal: | European Journal of Operational Research |
Authors: | Zhou Xian, Wu Xianyi, Huang Jinlong |
Keywords: | financial, stochastic processes, simulation, time series: forecasting methods |
In this paper, we investigate the asymptotic behaviors of the loss reservings computed by individual data method and its aggregate data versions by Chain‐Ladder (CL) and Bornhuetter–Ferguson (BF) algorithms. It is shown that all deviations of the three reservings from the individual loss reserve (the projection of the outstanding liability on the individual data) converge weakly to a zero‐mean normal distribution at the