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Parameter Reduction in Log-normal Chain-ladder Models

Verrall, R. J. and Wüthrich, M. V. (2015). Parameter Reduction in Log-normal Chain-ladder Models. European Actuarial Journal, 5(2), pp. 355-380. doi: 10.1007/s13385-015-0114-7

Abstract

Multiplicative chain-ladder (CL) models are characterized by CL factors that explain the development of claims from one period to the next. In classical CL models every development period has its own CL factor. In the present paper we give a method describing how some of these CL factors can be modeled by a joint functional dependence. This joint functional form reduces the number of model parameters needed.

Publication Type: Article
Additional Information: The final publication will be available at Springer http://www.springerlink.com/content/2190-9733/
Subjects: Q Science > QA Mathematics
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/12436
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