@misc{10481/58899,
year = {2019},
month = {12},
url = {http://hdl.handle.net/10481/58899},
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.},
organization = {This research was funded by the programme for Economic Modelling, Oxford and European Research
Council, grant AdG 694262, and the Spanish Ministry of Economy and Competitiveness, grant MTM2016-76969P,
which includes support from the European Regional Development Fund (ERDF).},
publisher = {MDPI},
keywords = {Chain ladder},
keywords = {Bornhuetter–Ferguson},
keywords = {Maximum likelihood},
keywords = {Exponential families},
keywords = {Canonical parameters},
keywords = {Prior knowledge},
title = {A Likelihood Approach to Bornhuetter–Ferguson Analysis},
doi = {10.3390/risks7040119},
author = {Elpidorou, Valandis and Margraf, Carolin and Martínez Miranda, María Dolores and Nielsen, Bent},
}