The geometric chain-ladder

DOI10.1080/03461238.2013.821952zbMath1398.62310OpenAlexW1997927915MaRDI QIDQ4576798

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Publication date: 10 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2013.821952

zbMATH Keywords

identification problemmaximum likelihoodcanonical parameterlog-normal modelarithmetic chain-laddergeometric chain-ladder

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (3)

Stochastic Loss Reserving in Discrete Time: Individual vs. Aggregate Data Models ⋮ Dispersion modelling of outstanding claims with double Poisson regression models ⋮ Generalized log-normal chain-ladder

Uses Software

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• ChainLadder
• DCL

Cites Work

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• Identification of the age-period-cohort model and the extended chain-ladder model
• On the estimation of reserves from loglinear models
• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Which stochastic model is underlying the chain ladder method?
• UMVUE of the IBNR reserve in a lognormal linear regression model
• A comparison of stochastic models that reproduce chain ladder reserve estimates. (With discussion)
• Double Chain Ladder
• MAXIMUM LIKELIHOOD AND ESTIMATION EFFICIENCY OF THE CHAIN LADDER
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• IBNR-claims and the two-way model of ANOVA
• Chain Ladder Bias

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