Title: Confidence bounds for discounted loss reserves
Authors: Hoedemakers, Tom ×
Beirlant, Jan
Goovaerts, Marc
Dhaene, Jan #
Issue Date: 2003
Publisher: Elsevier science bv
Series Title: Insurance: Mathematics & Economics vol:33 issue:2 pages:297-316
Abstract: In this paper we give some methods to set up confidence bounds for the discounted IBNR reserve. We start with a loglinear regression model and estimate the parameters by maximum likelihood such as given, for example, by Doray [Insur.: Math. Econ. 18 (1996) 43]. The knowledge of the distribution function of the discounted IBNR reserve (S) will help us to determine the initial reserve, for example, through the 95th percentile F-S(-1) (0.95). The results are based on convex order techniques, such that our approximations for the distribution function of S are larger or smaller, in convex order sense, than the true distribution function of S. (C) 2003 Elsevier B.V. All rights reserved.
ISSN: 0167-6687
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Research Center Insurance, Leuven
Statistics Section
× corresponding author
# (joint) last author

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