A Stochastic Model Underlying the Chain-Ladder Technique-Reference-Cited by-同舟云学术

A Stochastic Model Underlying the Chain-Ladder Technique

Published:1998-10-01 Issue:4 Volume:4 Page:903-923
ISSN:1357-3217
Container-title:British Actuarial Journal
language:en
Short-container-title:Br. Actuar. J.

Author:

Renshaw A.E.,Verrall R.J.

Abstract

ABSTRACTThis paper presents a statistical model underlying the chain-ladder technique. This is related to other statistical approaches to the chain-ladder technique which have been presented previously. The statistical model is cast in the form of a generalised linear model, and a quasi-likelihood approach is used. It is shown that this enables the method to process negative incremental claims. It is suggested that the chain-ladder technique represents a very narrow view of the possible range of models.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

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