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Chain ladder and maximum likelihood

Published online by Cambridge University Press:  20 April 2012

R. J. Verrall
R. J. Verrall
Affiliation:
City University, London
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Abstract

This paper derives second moments of estimates of the parameters in the chain ladder model. Thus, the so-called link ratios, and proportions of ultimate claims for each development year are considered. This enables confidence statements about the chain ladder parameters to be made with statistical rigour. The methods are illustrated using 6 sets of real data taken from the DTI returns.

Keywords

Chain LadderGeneral InsuranceEstimationMathematical Models
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 118 , Issue 3 , 1991 , pp. 489 - 499
Copyright
Copyright © Institute and Faculty of Actuaries 1991

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