CAS Monograph No. 10

CAS Monograph No. 10: Using the Hayne MLE Models: A Practitioner's Guide

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Monograph No 10

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.

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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 droyston@casact.org.

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