232032 (M42, M10) Chain ladder, marginal sum and maximum likelihood estimation

1998 ◽  
Vol 23 (2) ◽  
pp. 191
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Likelihood Estimation ◽  
Chain Ladder

Negative incremental claims: chain ladder and linear models

1993 ◽  
Vol 120 (1) ◽  
pp. 171-183 ◽  
Author(s):  
R. J. Verrall ◽  
Z. Li
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Lognormal Distribution ◽  
Linear Models ◽  
Likelihood Estimation ◽  
Loglinear Models ◽  
Run Off ◽  
Chain Ladder ◽  
Actuarial Method

AbstractThis paper considers the application of loglinear models to claims run-off triangles which contain negative incremental claims. Maximum likelihood estimation is applied using the three parameter lognormal distribution. The method can be used in conjunction with any model which can be expressed in lognormal form. In particular the chain ladder technique is considered. An example is given and the results compared with the basic actuarial method.

Chain ladder, marginal sum and maximum likelihood estimation

1998 ◽  
Vol 23 (3) ◽  
pp. 267-277 ◽  
Author(s):  
Klaus D. Schmidt ◽  
Angela Wünsche
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Likelihood Estimation ◽  
Chain Ladder

scholarly journals Chain-Ladder as Maximum Likelihood Revisited

2009 ◽  
Vol 4 (1) ◽  
pp. 105-121 ◽  
Author(s):  
D. Kuang ◽  
B. Nielsen ◽  
J. P. Nielsen
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Boundary Problem ◽  
Maximum Likelihood Estimators ◽  
Likelihood Estimation ◽  
Poisson Model ◽  
Identification Problem ◽  
Canonical Parameter ◽  
Chain Ladder

ABSTRACTIt has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique. We revisit this model. A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation. The maximum likelihood estimators for the canonical parameter are simple, interpretable and easy to derive. The boundary problem where all observations in one particular development year or on particular underwriting year is zero is also analysed.

Sign in / Sign up

Export Citation Format

Share Document