The Geometric Chain-Ladder

The log normal reserving model is considered. The contribution of the paper is to derive explicit expressions for the maximum likelihood estimators. These are expressed in terms of development factors which are geometric averages. The distribution of the estimators is derived. It is shown that the analysis is invariant to traditional measures for exposure.

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Year of publication:	2013-07-01
Authors:	Kuang, D ; Nielsen, Bent ; Nielsen, J P
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Arithmetic chain-ladder \| geometric chain-ladder \| canonical parameter \| identification problem \| maximum likelihood \| log-normal model

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2013-W11 24 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010823422