An Investigation into Stochastic Claims Reserving Models and the Chain-Ladder Technique

This paper considers a range of stochastic models which give the same reserve estimates as the chain-ladder technique. The relationship between the models described by Renshaw and Verrall (Renshaw, A.E., Verrall, R.J., 1998. British Actuarial Journal 4, 903--923) and Mack (Mack, T., 1993. ASTIN Bulletin 23, 213--225) is explored in more detail than previously. Several new models are suggested and some new ways to allow for negative incremental claims for the chain-ladder technique and other claims reserving methods are put forward.