Estimation of IBNR Claims Reserves Using Linear Models
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Date
2008Author
Weke, Patrick G. O.
Type
ArticleLanguage
enMetadata
Show full item recordAbstract
Stochastic models for triangular data are derived and applied to claims reserving data. The
standard actuarial technique, the chain ladder technique is given a sound statistical
foundation and considered as a linear model. The chain ladder technique and the two-way
analysis of variance are employed for purposes of estimating and predicting the IBNR claims
reserves.
Citation
Kenya Journal of Sciences Series A Vol. 13 No.1, 2008Publisher
School of Mathematics, University of Nairobi, Kenya