Abstract
was concerned with the chain ladder in a stochastic setting. The log-linearity ofthat model was pointed out in Section 7.2.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Abramowitz, M. and Stegun, IA. Handbook of Mathematical Functions. New York, Dover Publications, (Eighth Edition) 1972.
Doray, LG. UMVUE of the IBNR reserve in lognormal linear regression model. Insurance: Mathematics and Economics, 1996;18:43–57.
Finney, DJ. On the distribution of a variate whose algorithm is normally distributed. Supplement to the Journal of the Royal Statistical Society, 1941; 7: 155–161.
Renshaw, AE. Chain ladder and interactive modelling (claims reserving and GLIM). Journal of the Institute of Actuaries, 1989; 116:559–587.
Verrall, RJ. On the estimation of reserves from loglinear models. Insurance: Mathematics and Economics, 1991;10:75–80.
Wright, TS. A stochastic method for claims reserving in general insurance. Journal of the Institute of Actuaries, 1990; 117:677–731.
Zehnwirth, B. ICRFS-Plus 8.3 Manual. Insureware Pty Ltd. St. Kilda, Australia, 1998.
Author information
Authors and Affiliations
Rights and permissions
Copyright information
© 2000 Springer Science+Business Media New York
About this chapter
Cite this chapter
Taylor, G. (2000). Stochastic Models with a GLM Basis. In: Loss Reserving. Huebner International Series on Risk, Insurance and Economic Security, vol 21. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-4583-5_8
Download citation
DOI: https://doi.org/10.1007/978-1-4615-4583-5_8
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-7070-3
Online ISBN: 978-1-4615-4583-5
eBook Packages: Springer Book Archive