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European Actuarial Journal

, Volume 5, Issue 2, pp 355–380 | Cite as

Parameter reduction in log-normal chain-ladder models

  • Richard J. VerrallEmail author
  • Mario V. Wüthrich
Original Research Paper

Abstract

Multiplicative chain-ladder (CL) models are characterized by CL factors that explain the development of claims from one period to the next. In classical CL models every development period has its own CL factor. In the present paper we give a method describing how some of these CL factors can be modeled by a joint functional dependence. This joint functional form reduces the number of model parameters needed.

Keywords

Development Period Prior Model Confidence Bound Parameter Reduction Reversible Jump Markov Chain Monte Carlo 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© DAV / DGVFM 2015

Authors and Affiliations

  1. 1.Cass Business SchoolCity University LondonLondonUK
  2. 2.RiskLab Switzerland, Department of MathematicsETH ZurichZurichSwitzerland

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