List of publications on a keyword: «цепная лестница»


Экономика

Publication date: 16.10.2020
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Tanyukhin Aleksey Vladimirovich , candidate of economic sciences , actuary
Self-regulatory organization of actuaries "Association of professional actuaries" , Москва г

«Actuarial Evaluation of Late Losses: A Chain Ladder Model or a Generalized Linear Model of Rated Loss Increaments with a Poisson Distribution?»

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This article focuses on the equality of the estimated late losses resulting from the application of the chain ladder model to the estimates obtained on the basis of the incremental development triangle by cross-parameterizing the rated increments of losses with Poisson distributions using the generalized linear model. In this article, the formulas of the chain ladder model are derived by solving the problem of cross parameterization of rated increments of losses. Smaller accounting groups than the risk, along which the development triangle is formed, make conclusions about the possible bases for the sharing of reserves. This issue may be relevant for the further calculation of actuarial premiums.