On the estimation of reserves from loglinear models

DOI10.1016/0167-6687(91)90026-TzbMATH Open0723.62070OpenAlexW2060360734MaRDI QIDQ756909FDOQ756909

Authors: Richard Verrall 

Publication date: 1991

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6687(91)90026-t

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zbMATH Keywords

maximum likelihoodlinear modelslognormal distributionloglinear modelactuarial estimatorschain ladder modelestimation of claims reservesoutstanding claimsUnbiased estimators

Mathematics Subject Classification ID

Point estimation (62F10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• IBNR-claims and the two-way model of ANOVA

Cited In (32)

• An estimation of a hybrid log-Poisson regression using a quadratic optimization program for optimal loss reserving in insurance
• Modeling dependencies in claims reserving with GEE
• Claims reserving and generalised additive models
• Which stochastic model is underlying the chain ladder method?
• Claims reserving: A correlated Bayesian model
• The influence of individual claims on the chain-ladder estimates: analysis and diagnostic tool
• On the lifetime and one-year views of reserve risk, with application to IFRS 17 and Solvency II risk margins
• Maximum likelihood approach for calculating insurance claims reserve
• Applying state space models to stochastic claims reserving
• Loss prediction based on run-off triangles
• UMVUE of the IBNR reserve in a lognormal linear regression model
• A comparative analysis of the estimaion of outstanding claims reserving methods in the conditions of non-life insurance service termination
• Claims Reserving with a Stochastic Vector Projection
• Estimation of mortalities
• Generalized log-normal chain-ladder
• Confidence bounds for discounted loss reserves.
• Title not available (Why is that?)
• Modelling negatives in stochastic reserving models
• A GAMMA MOVING AVERAGE PROCESS FOR MODELLING DEPENDENCE ACROSS DEVELOPMENT YEARS IN RUN-OFF TRIANGLES
• Ensemble distributional forecasting for insurance loss reserving
• Estimation of loss reserves with lognormal development factors
• Entropy programming modeling of IBNR claims reserves
• Analytic and bootstrap estimates of prediction errors in claims reserving
• Robust bootstrap procedures for the chain-ladder method
• Robust loss reserving in a log-linear model
• Bayesian Estimation of Outstanding Claim Reserves
• The Bühlmann-Straub estimation of claim means in random B-F reserve model
• On the calculation of prospective and retrospective reserves in non-Markov models
• Unallocated loss adjustment expense reserving
• Loss reserving and Hofmann distributions
• The geometric chain-ladder
• A robustification of the chain-ladder method

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