Template-type: ReDIF-Paper 1.0
Author-Name: D Kuang
Author-Workplace-Name: Hiscox, London
Author-Email: kuang.di@gmail.com
Author-Name: Bent Nielsen
Author-Workplace-Name: Nuffield College, Oxford
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Name: J P Nielsen
Author-Workplace-Name: Cass Business School, City University London
Author-Email: Jens.Nielsen.1@city.ac.uk
Title: The Geometric Chain-Ladder
Abstract: The log normal reserving model is considered. The contribution of the paper
is to derive explicit expressions for the maximum likelihood estimators. These are expressed
in terms of development factors which are geometric averages. The distribution
of the estimators is derived. It is shown that the analysis is invariant to traditional
measures for exposure.
X-Classification-JEL: 
Keywords: Arithmetic chain-ladder, geometric chain-ladder, canonical parameter, identification
problem, maximum likelihood, log-normal model.
Length: 24 pages
Creation-Date: 2013-07-01
Number: 2013-W11
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2013/GeometricCL2013DP.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1311