The Geometric Chain-Ladder

D Kuang (), Bent Nielsen and J P Nielsen ()
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D Kuang: Hiscox, London
J P Nielsen: Cass Business School, City University London

No 2013-W11, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: The log normal reserving model is considered. The contribution of the paper is to derive explicit expressions for the maximum likelihood estimators. These are expressed in terms of development factors which are geometric averages. The distribution of the estimators is derived. It is shown that the analysis is invariant to traditional measures for exposure.

Keywords: Arithmetic chain-ladder; geometric chain-ladder; canonical parameter; identification problem; maximum likelihood; log-normal model. (search for similar items in EconPapers)
Pages: 24 pages
Date: 2013-07-01
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:1311

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