Search results
THE CHAIN LADDER TECHNIQUE — A STOCHASTIC MODELModel (2.2) is essentially a regression model whe. e the design matrix involves indicator variables. How. ver, the design based on (2.2) alone is singular. In view of constraint (2,3), the actual number of free parame. ers is 2s-1, yet model (2.2) has 2s+l parameters. By setting a1=b1=0, say, the ...
- 395KB
- 9
Dec 20, 2002 · The chain–ladder method is the most popular method of loss reserving. In its origin, it is nothing else than a heuristic and appealing algorithm. Because of the stochastic nature of the quantities to which the algorithm is applied, several authors have studied the question whether the chain–ladder method can be justified by a stochastic model and a statistical method related to the model.
- Klaus Th. Hess, Klaus D. Schmidt
- 2002
The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to formulate any required model extensions. The chain ladder is by far the most widely used method for loss reserving. The chain ladder algorithm ...
- 3MB
- 112
The chain ladder method is a simple and suggestive tool in claims reserving, and various attempts have been made aiming at its justification in a stochastic model. Remarkable progress has been achieved by Schnieper and Mack who considered models involving assumptions on conditional distributions.
- Klaus D. Schmidt, Anja Schnaus
- 1996
Jun 10, 2011 · 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.
- A.E. Renshaw, R.J. Verrall
- 1998
Dec 1, 1994 · We have also shown that model (5) is a stochastic model underlying the chain ladder method. Moreover, model (5) has only n - 1 parameters - as opposed to 2n - 1 (or even 2n) in case of model (4c) - and is therefore more robust than model (4c). Finally, one might argue that one advantage of the loglinear model (4c) is the fact that it allows to ...
People also ask
Can a chain ladder be used in a stochastic model?
Is the chain ladder method based on a distribution-free stochastic model?
Can a stochastic model justify the chain-ladder method?
Which family of stochastic model generates a chain ladder algorithm for loss reserve?
Are modified chain ladder predictors unbiased?
Does the chain ladder technique include a random component?
Oct 28, 2016 · As the Poisson model is just the multinomial model with Poisson distributed ultimate losses, the theorem implies that the Poisson model is not compatible with the chain ladder model of Schnaus. The Poisson model is a model with independent incremental losses and it can be shown in general that, with the exception of degenerate special cases, no model with independent incremental losses is ...
