Faculty Advisor

Abraham, Jon P.

Faculty Advisor

Posterro, Barry John

Abstract

This project is based on the CAS monograph Stochastic Loss Reserving Using Generalized Linear Models by Taylor & McGuire, which discusses the application of GLMs to loss reserving, with an emphasis on the chain ladder algorithm. The team reviewed and explained the concepts presented in the monograph, supported the explanations with additional examples, and recreated the numerical examples in the monograph using the provided dataset and SAS. The project concentrates on the first four chapters and part of Chapter 5 of the monograph, which include topics on the chain ladder algorithm, over-dispersed Poisson distributions, GLMs, the Mack and cross-classified models for loss reserving, prediction errors, and the bootstrap method for estimating outstanding losses.

Publisher

Worcester Polytechnic Institute

Date Accepted

April 2019

Major

Actuarial Mathematics

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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