Chain-Ladder as Maximum Likelihood Revisited.
It has long been known that maximum likelihood estimation in a Poisson model reproduces the chain-ladder technique. We revisit this model. A new canonical parametrisation is proposed to circumvent the inherent identification problem in the parametrisation. The maximum likelihood estimators for the c...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Faculty of Actuaries and Institute of Actuaries
2009
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