Estimation of IBNR Claims Reserves Using Linear Models
Weke, Patrick G. O.
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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.
CitationKenya Journal of Sciences Series A Vol. 13 No.1, 2008
School of Mathematics, University of Nairobi, Kenya