Confidence Bounds for Discounted Loss Reserves

25 Pages Posted: 1 Mar 2006

See all articles by Tom Hoedemakers

Tom Hoedemakers

KU Leuven - Faculty of Business and Economics (FEB)

Jan Beirlant

Catholic University of Leuven (KUL)

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics

Jan Dhaene

Katholieke Universiteit Leuven

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 in Doray, 1996. 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. 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.

Keywords: IBNR, confidence bound, comonotonicity, simulation

Suggested Citation

Hoedemakers, Tom and Beirlant, Jan and Goovaerts, Marc and Dhaene, Jan, Confidence Bounds for Discounted Loss Reserves. Insurance: Mathematics and Economics, Vol. 33, No. 2, pp. 297-316, 2003. Available at SSRN: https://ssrn.com/abstract=887024

Tom Hoedemakers (Contact Author)

KU Leuven - Faculty of Business and Economics (FEB) ( email )

Naamsestraat 69
Leuven, B-3000
Belgium

Jan Beirlant

Catholic University of Leuven (KUL) ( email )

W. de Croylaan 54
Leuven, B-3001
Belgium

Marc Goovaerts

Catholic University of Leuven (KUL) - Department of Economics ( email )

Leuven, B-3000
Belgium
+32 0 16 32 7446 (Phone)
+32 0 16 32 3740 (Fax)

Jan Dhaene

Katholieke Universiteit Leuven ( email )

Naamsestraat 69
Leuven, 3000
Belgium

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