CAS Monograph No. 10: Using the Hayne MLE Models: A Practitioner's Guide
by Mark Shapland
This monograph illustrates the practical implementation of the Hayne MLE modeling framework as a powerful tool for estimating a distribution of unpaid claims. It 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. Next, it explores a variety of enhancements to the basic framework to allow the models to address other issues related to reserving and pricing risk. Finally, 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.
Availability of Excel workbooks. In lieu of technical appendices, several companion Excel workbooks are included that illustrate the calculations described in this monograph. The companion materials are available at https://www.casact.org/sites/default/files/2022-03/Monograph10-ExcelFiles_0.zip
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.
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