Abstract
In a recent paper, Kremer (1982) has shown how the classical chain ladder method for estimating outstanding claims on general insurance business is strongly related to a two-way analysis of variance. It can be argued that the estimation methods in a standard chain ladder analysis are inefficient from a statistical viewpoint and that an analysis of variance is more appropriate. Once the chain ladder method is identified with a standard statistical method, the well-known statistical theory can be used to the advantage of the claims reserver. For a further discussion of the use of main stream statistical theory applied to the least squares estimation of the linear model which is close to the chain ladder method, the reader is referred to Renshaw (1989).
Publisher
Cambridge University Press (CUP)
Reference8 articles.
1. Stochastic Modelling and Control
2. Chain Ladder and Interactive Modelling;Renshaw;J.I.A.,1989
3. Claims Reserving, State-space Models and The Kalman Filter;De Jong;J.I.A.,1983
4. (7) Verrall R. J. (1989a) Modelling Claims Runoff Triangles with Two-Dimensional Time Series. Scand. Act. J. (to appear).
5. (8) Verrall R. J. (1989b) On the Unbiased Estimation of Reserves from Loglinear Models. (Under review).
Cited by
49 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献