On the Estimation of Reserves from Loglinear Models

Abstract
This paper considers the estimation of claims reserves and outstanding claims when a loglinear model is applied. Unbiased estimators are derived and these are compared with maximum likelihood and actuarial estimators. The set of loglinear models considered includes the commonly used chain ladder model. An example is given illustrating the results for the chain ladder model.
Volume
10:1
Page
75-80
Year
1991
Categories
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Financial and Statistical Methods
Loss Distributions
Publications
Insurance: Mathematics & Economics
Authors
Richard J Verrall