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A Stochastic Model Underlying the Chain-Ladder Technique

Published online by Cambridge University Press:  10 June 2011

A.E. Renshaw  and
R.J. Verrall
R.J. Verrall
Affiliation:
Department of Actuarial Science & Statistics, The City University, Northampton Square, London, EC1V 0HB, U.K. Tel: +44(0)171-477-8476; Fax: +44(0)171-477-8838; E-mail: r.j.verrall@city.ac.uk
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Abstract

This 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.

Keywords

Chain-Ladder TechniqueClaims ReservingGeneralised Linear ModelsRun-Off Triangles
Type
Sessional meetings: papers and abstracts of discussions
Information
British Actuarial Journal , Volume 4 , Issue 4 , 01 October 1998 , pp. 903 - 923
Copyright
Copyright © Institute and Faculty of Actuaries 1998

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References

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