Article contents
Negative incremental claims: chain ladder and linear models
Published online by Cambridge University Press: 20 April 2012
Abstract
This 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.
- Type
- Research Article
- Information
- Copyright
- Copyright © Institute and Faculty of Actuaries 1993
References
- 4
- Cited by