Centro de Documentacion de Fundación MAPFRE - Existence and uniqueness of chain ladder solutions

MAP20170006657

Existence and uniqueness of chain ladder solutions / Greg Taylor

Sumario: The cross-classified chain ladder has a number of versions, depending on the distribution to which observations are subject. The simplest case is that of Poisson distributed observations, and then maximumlikelihood estimates of parameters are explicit. Most other cases, however, including Bayesian chain ladder models, lead to implicit MAP (Bayesian) or MLE (non-Bayesian) solutions for these parameter estimates, raising questions as to their existence and uniqueness. The present paper investigates these questions in the case where observations are distributed according to some member of the exponential dispersion family

En: Astin bulletin. - Belgium : ASTIN and AFIR Sections of the International Actuarial Association = ISSN 0515-0361. - 02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 1-41

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