CAS Monograph No. 3: Stochastic Loss Reserving Using Generalized Linear Models
05/04/2016–Stochastic Loss Reserving Using Generalized Linear Models, the third volume of the new CAS Monograph Series, is now available for download. In this monograph, authors Greg Taylor and Gráinne McGuire discuss generalized linear models (GLM) for loss reserving, beginning with strong emphasis on the chain ladder. The chain ladder is formulated in a GLM context, as is the statistical distribution of the loss reserve. This structure is then used to test the need for departure from the chain ladder model and to consider natural extensions of the chain ladder model that lend themselves to the GLM framework.
Greg Taylor holds an honorary professorial position in Risk and Actuarial Studies at the University of New South Wales. He previously spent 44 years in commercial actuarial practice and eight years as an actuarial academic. Taylor has published two books on loss reserving and numerous articles in mathematics, statistics, and actuarial science. He is an Officer of the Order of Australia, and holds a Gold Medal from the Australian Actuaries Institute and a Silver Medal from the United Kingdom Institute and Faculty of Actuaries.
Gráinne McGuire is a consulting actuary with Taylor Fry, with over 12 years’ experience in that role, and has specialized knowledge in complex claim modeling and loss reserving using GLMs. She has co-authored a number of papers on various topics in loss reserving including the use of GLMs, bootstrapping and automatic reserving methods (of which one paper, co-authored with Greg Taylor, was awarded the Michelbacher prize in 2004). She has also been a member of GIRO working parties examining stochastic loss reserving and uncertainty measurement. She holds a Ph.D. in statistics and is a Fellow of the Actuaries Institute, Australia.
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