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Negative incremental claims: chain ladder and linear models.

✍ Scribed by R.J. Verrall; Z. Li


Publisher
Elsevier Science
Year
1993
Tongue
English
Weight
101 KB
Volume
13
Category
Article
ISSN
0167-6687

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## Abstract In this short note, we focus on tyings (constraints that relate multiple degrees of freedom) modelled by means of penalty functions. In contrast to what is commonly thought, it is possible to obtain convergent results when negative penalty parameters are taken. A mathematical proof and