Papers and reports

This paper considers the application of loglinear models to claims run-off triangles which contains negative incremental claims. Maximum likelihood estimation is applied using the three parameter lognormal distribution. This method can be used in conjunction with any model which can be expressed in lognormal form. In particular the chain ladder technique is considered. An example is given and the results compared with the basic actuarial method.

In this paper an asset/liability model is used to compare the quality of information available from a set of stochastic simulations with a traditional deterministic sensitivity test approach. The traditional approach applied to a range of variants of the basic model office fails to distinguish adequately very risky strategies from relatively secure strategies.