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Existence and uniqueness of chain ladder solutions

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
LDR  00000cab a2200000 4500
001  MAP20170006657
003  MAP
005  20170301142602.0
008  170301e20170102usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎6
100  ‎$0‎MAPA20080660253‎$a‎Taylor, Greg
24510‎$a‎Existence and uniqueness of chain ladder solutions‎$c‎Greg Taylor
520  ‎$a‎The cross-classified chain ladder has a number of versions, depending on the distribution to which observations are subject. The simplest case is that of Poisson distributed observations, and then maximumlikelihood estimates of parameters are explicit. Most other cases, however, including Bayesian chain ladder models, lead to implicit MAP (Bayesian) or MLE (non-Bayesian) solutions for these parameter estimates, raising questions as to their existence and uniqueness. The present paper investigates these questions in the case where observations are distributed according to some member of the exponential dispersion family.
7730 ‎$w‎MAP20077000420‎$t‎Astin bulletin‎$d‎Belgium : ASTIN and AFIR Sections of the International Actuarial Association‎$x‎0515-0361‎$g‎02/01/2017 Volumen 47 Número 1 - enero 2017 , p. 1-41