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Negative incremental claims: chain ladder and linear models

Published online by Cambridge University Press:  20 April 2012

R. J. Verrall  and
Z. Li
R. J. Verrall
Affiliation:
The City University, London
Z. Li
Affiliation:
The City University, London
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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.

Keywords

Chain LadderLinear ModelsLognormal Distribution
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 120 , Issue 1 , 1993 , pp. 171 - 183
Copyright
Copyright © Institute and Faculty of Actuaries 1993

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References

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