Journal article
A likelihood approach to Bornhuetter-Ferguson analysis
- Abstract:
- A new Bornhuetter–Ferguson method is suggested herein. This is a variant of the traditional chain ladder method. The actuary can adjust the relative ultimates using externally estimated relative ultimates. These correspond to linear constraints on the Poisson likelihood underpinning the chain ladder method. Adjusted cash flow estimates were obtained as constrained maximum likelihood estimates. The statistical derivation of the new method is provided in the generalised linear model framework. A related approach in the literature, combining unconstrained and constrained maximum likelihood estimates, is presented in the same framework and compared theoretically. A data illustration is described using a motor portfolio from a Greek insurer.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
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(Preview, Version of record, pdf, 435.3KB, Terms of use)
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- Publisher copy:
- 10.3390/risks7040119
Authors
- Publisher:
- MDPI
- Journal:
- Risks More from this journal
- Volume:
- 7
- Issue:
- 4
- Article number:
- 119
- Publication date:
- 2019-12-10
- Acceptance date:
- 2019-12-03
- DOI:
- ISSN:
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2227-9091
- Pubs id:
-
pubs:1077189
- UUID:
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uuid:ffd6eca8-9de8-442f-8788-a7bd77c585c4
- Local pid:
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pubs:1077189
- Source identifiers:
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1077189
- Deposit date:
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2019-12-10
Terms of use
- Copyright holder:
- Elpidorou et al
- Copyright date:
- 2019
- Notes:
- © 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open accessarticle distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).
- Licence:
- CC Attribution (CC BY)
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