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CAS Exam 7 Study Notes: Maximum Likelihood Approaches in Reserving
2018-03-28
I've uploaded my study notes based on LDF Curve-fitting and Stochastic Reserving: A Maximum Likelihood Approach by David Clark. This paper describes how to fit a smooth curve to the historical loss emergence pattern, under both the Loss Development Factor and Cape Cod reserving methods, and how to obtain estimates for the variance of the reserves resulting from use of this method. In the notes, I demonstrate how to use R to maximize the likelihood functions corresponding to Clark's models and replicate the examples from his paper.
Keywords: Actuarial Science, Exam 7, Study Note