Title: IBNR reserves under stochastic interest rates
Authors: Goovaerts, Marc ×
De Schepper, A #
Issue Date: Dec-1997
Publisher: Elsevier science bv
Series Title: Insurance mathematics & economics vol:21 issue:3 pages:225-244
Abstract: This paper intends to evaluate the present value of incurred but not reported (IBNR) reserves, when future interest rates are unknown. We first derive a result for the Laplace transform of the present value, when it is assumed that the interest rates are stochastic and can be modelled by means of a stochastic process which is similar to the model of Cox et al. (1985). Starting from this Laplace transform, it is shown how the probability distribution for the quantity under investigation can be found. The results are illustrated numerically.
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
× corresponding author
# (joint) last author

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