CAS Monograph No. 10: Using the Hayne MLE Models: A Practitioner's Guide
by Mark Shapland
This monograph illustrates the practical implementation of the Hayne MLE modeling framework as a powerful tool for estimating a distribution of unpaid claims. It starts by reviewing the Hayne MLE modeling framework using a standard notation. Then it covers a number of practical data issues and addresses the diagnostic testing of the model assumptions. Next, it explores a variety of enhancements to the basic framework to allow the models to address other issues related to reserving and pricing risk. Finally, since no single model is perfect, ways to combine or credibility weight the Hayne MLE model results with various other models are explored in order to arrive at a “best estimate” of the distribution.
CAS monographs are authoritative, peer-reviewed, in-depth works focusing on important topics within property and casualty actuarial practice. The CAS Monograph Series aims to create important additions to the existing body of CAS literature, with each monograph treating a single subject comprehensively. The Monograph Editorial Board (MEB) manages the monograph publication process in close coordination with the CAS editorial staff. Submission guidelines can be found on the CAS website or by contacting Donna Royston at email@example.com.
This monograph is currently available to all CAS members as a free download.
The CAS Monograph Series showcases CAS members' extensive specialized expertise, helping to raise the performance standard for property and casualty actuaries through insightful research. The monographs represent just one way that the CAS provides its members with access to relevant information, research and resources that they can apply directly on the job to advance in their careers. For information on submitting a monograph, visit the Monograph Submission Guidelines page.