Chain Ladder Reserve Variance Estimation

Steps

• Find the age-to-age factors and \(LDF_{k}\) (select simple/volume-weighted/\(C_{jk}^2\) weighted)
• "Square" the Cumulative Paid Losses (Blue Box)
• Calculate the variance proportionality factor \(\alpha_{k}^2\)
• Form the \(MSE\) table. (Use muscle memory)
• Find the \(MSE_{AY}\) by summing the rows. (Answer)