27.6 LDF Curve-Fitting and Stochastic Reserving: A Maximum Likelihood Approach - D. Clark

\(\star\) Paper definition/standards:

• We use the average age of the period here (so minus 6 month)

Reserve estimate

• \(\star \star\) Given \(G(x)\) distribution

  • Loglogistic (6.1), or

  • Weibull (6.2)

  • Might have to estimate parameters

• 2 Reserving method

  • \(\star\) LDF Method

  • \(\star\) Cape Cod Method

• Test for truncation by looking at age twice the triangle size

  • Different truncation method

Reserve process variance

• \(\star \star\) Estimation of \(\sigma^2\) (6.4)

  • Note the \(n\) and \(p\) for the 2 methods

  • We’re looking at incremental losses

\(\star \star\) Test \(iid\) assumpation with residual plots by calculating standardized residual

Counting average accident date