A Stochastic Model Underlying the Chain-Ladder Technique

A.E. Renshaw and R.J. Verrall

British Actuarial Journal, 1998, vol. 4, issue 4, 903-923

Abstract: This paper presents a statistical model underlying the chain-ladder technique. This is related to other statistical approaches to the chain-ladder technique which have been presented previously. The statistical model is cast in the form of a generalised linear model, and a quasi-likelihood approach is used. It is shown that this enables the method to process negative incremental claims. It is suggested that the chain-ladder technique represents a very narrow view of the possible range of models.

Date: 1998
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