Parameter Reduction in Log-normal Chain-ladder Models
Verrall, R. J. & 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: | Bayes Business School > Actuarial Science & Insurance |
| SWORD Depositor: |
Preview
Download (1MB) | Preview
Export
Downloads
Downloads per month over past year
Metadata
Metadata
MetadataAltmetric
CORE (COnnecting REpositories)
Actions (login required)
Actions (login required)
Admin Login