Using the Hayne MLE models: A practitioner's guide

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By Ping Xiao, Mark R. Shapland | 22. August 2016

This paper reviews the Hayne MLE modeling framework using a standard notation. It also covers a number of practical data issues and addresses the diagnostic testing of the model assumptions. The paper explores a variety of enhancements to the basic framework to allow the models to address other issues related to reserving and pricing risk.

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