ON THE ESTIMATION OF RESERVES FROM LOGLINEAR MODELS

被引：28
|
作者：
VERRALL, RJ
机构：
[1] City University, London
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1991年 / 10卷 / 01期
关键词：
CHAIN LADDER TECHNIQUE; LINEAR MODELS; LOGNORMAL DISTRIBUTION; MAXIMUM LIKELIHOOD ESTIMATION; UNBIASED ESTIMATION;
D O I：
10.1016/0167-6687(91)90026-T
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper considers the estimation of claims reserves and outstanding claims when a loglinear model is applied. Unbiased estimators are derived and these are compared with maximum likelihood and actuarial estimators. The set of loglinear models considered includes the commonly used chain ladder model. An example is given illustrating the results for the chain ladder model.
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页码：75 / 80
页数：6
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