CAS Releases New Monograph on the Hayne MLE Model

Using the Hayne MLE Model: A Practitioners’ Guide, a new volume in the CAS Monograph Series, is now available for download. This monograph, written by Mark Shapland, illustrates the practical implementation of the Hayne MLE modeling framework as a powerful tool for estimating a distribution of unpaid claims. It is an update and expansion of the earlier E-Forum paper of the same title. The main update is to include correlation between the frequency and severity models.

The monograph starts by reviewing the Hayne MLE modeling framework using a standard notation. Then it covers a number of practical data issues and addresses the diagnostic testing of the model assumptions. It explores a variety of enhancements to the basic framework to allow the models to address other issues related to reserving and pricing risk. And, since no single model is perfect, ways to combine or credibility weight the Hayne MLE model results with various other models are explored in order to arrive at a “best estimate” of the distribution. This is similar to how a deterministic best estimate is generally derived in practice, so ways for the practitioner to correlate models by segment in order to simulate aggregate results are also discussed.

Mark R. Shapland has a B.S. degree in Integrated Studies (Actuarial Science) from the University of Nebraska‒Lincoln. He is a Fellow of the Casualty Actuarial Society, a Fellow of the Society of Actuaries, and a Member of the American Academy of Actuaries. He can be contacted at mrshapland@netzero.com.

CAS monographs are authoritative, peer-reviewed, in-depth works focusing on important topics within property and casualty actuarial practice. The CAS Monograph Series initiative fulfills the goal of creating an important addition to the existing body of CAS literature, with each monograph enabling the comprehensive treatment of a single subject. The Monograph Editorial Board (MEB) manages the monograph publication process in close coordination with the CAS editorial staff. Submission guidelines can be found on the CAS web site or by contacting Donna Royston at droyston@casact.org.

This monograph is currently available to all CAS members as a free download at https://www.casact.org/monograph/cas-monograph-no-10.