Generalized log-normal chain-ladder

DOI10.1080/03461238.2019.1696885MaRDI QIDQ5123187zbMATH OpenOpenAlexFDO

Authors

Publication date 28 September 2020

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1806.05939

zbMATH Keywords

bootstrapchain-ladderinfinitely divisibilitylog-normalover-dispersed Poisson

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05)

Abstract: We propose an asymptotic theory for distribution forecasting from the log normal chain-ladder model. The theory overcomes the difficulty of convoluting log normal variables and takes estimation error into account. The results differ from that of the over-dispersed Poisson model and from the chain-ladder based bootstrap. We embed the log normal chain-ladder model in a class of infinitely divisible distributions called the generalized log normal chain-ladder model. The asymptotic theory uses small $sigma$ asymptotics where the dimension of the reserving triangle is kept fixed while the standard deviation is assumed to decrease. The resulting asymptotic forecast distributions follow t distributions. The theory is supported by simulations and an empirical application.

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Cites work

• Addendum to ``Analytic and bootstrap estimates of prediction errors in claims reserving
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Asymptotic Statistics
• scientific article; zbMATH DE number 5145287
• Forecasting with the age-period-cohort model and the extended chain-ladder model
• scientific article; zbMATH DE number 3844884 (Why is no real title available?)
• scientific article; zbMATH DE number 699423 (Why is no real title available?)
• IBNR-claims and the two-way model of ANOVA
• Identification of the age-period-cohort model and the extended chain-ladder model
• On the estimation of reserves from loglinear models
• On the infinite divisibility of the lognormal distribution
• Over-Dispersed Age-Period-Cohort Models
• Properties of sufficiency and statistical tests
• The geometric chain-ladder
• The standard error of chain ladder reserve estimates: recursive calculation and inclusion of a tail factor
• UMVUE of the IBNR reserve in a lognormal linear regression model

Cited in

(7)

• Calendar effect and in-sample forecasting
• Dispersion modelling of outstanding claims with double Poisson regression models
• Asymptotic theory for Mack's model
• The geometric chain-ladder
• Replicating and Extending Chain-Ladder via an Age–Period–Cohort Structure on the Claim Development in a Run-Off Triangle
• A log-normal chain ladder model closely aligning with Mack's assumptions
• Parameter reduction in log-normal chain-ladder models

Describes a project that uses

Uses Software

• R
• ChainLadder
• apc

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