The distribution-free chain ladder reserving method belongs to the most frequently used approaches in general insurance. It is well known, see Mack (1993), that the estimators f̂j of the development factors are unbiased and mutually uncorrelated under some mild conditions on the mean structure...

A common approach to the claims reserving problem is based on generalized linear models (GLM), where the claims in different origin and development years are assumed to be independent variables. If this is violated, the classical techniques may provide incorrect predictions of the claims...