A Log-normal chain ladder model closely aligning with Mack's assumptions

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<dc:creator>Riegel, Ulrich</dc:creator>
<dc:creator>Springer</dc:creator>
<dc:date>2026-04-13</dc:date>
<dc:description xml:lang="es">Sumario: The article introduces the log-normal Mack chain ladder (LMCL) model, a stochastic formulation of the chain ladder method that is closely aligned with Mack's classical assumptions and compatible with maximum likelihood estimation. Simple iterative procedures are developed for parameter estimation, and reserving methods with and without bias correction are proposed. In addition, analytical estimators of the mean squared error of prediction are derived. The model is empirically compared with the traditional chain ladder method, Hertig's model, and other approaches, showing good performance even for triangles with high volatility</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/190485.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Modelos actuariales</dc:subject>
<dc:subject xml:lang="es">Provisiones técnicas</dc:subject>
<dc:subject xml:lang="es">Seguros no vida</dc:subject>
<dc:subject xml:lang="es">Inferencia estadística</dc:subject>
<dc:subject xml:lang="es">Modelos estadísticos</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Log-normal chain ladder model closely aligning with Mack's assumptions</dc:title>
<dc:relation xml:lang="es">En: European Actuarial Journal. - Cham, Switzerland  : Springer Nature Switzerland AG,  2021-2022. - 13/04/2026 Número 16 issue 1 - abril 2026 , 68 p.</dc:relation>
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