A Semi-Parametric Predictor of the IBNR Reserve
We develop a semi-parametric predictor of the IBNR reserve in a macro-model when the claim amount for a certain accident and development year can be expressed in a loglinear form composed of a deterministic part and a random error. We need to make assumptions only on the first two moments of the err...
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| Veröffentlicht in: | ASTIN Bulletin : The Journal of the IAA 1997-05, Vol.27 (1), p.113-116 |
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| Format: | Artikel |
| Sprache: | eng |
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| Online-Zugang: | Volltext |
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| Zusammenfassung: | We develop a semi-parametric predictor of the IBNR reserve in a macro-model when the claim amount for a certain accident and development year can be expressed in a loglinear form composed of a deterministic part and a random error. We need to make assumptions only on the first two moments of the error, without any specified parametric assumption on its distribution. We give its properties, present its advantages and compare the estimates obtained with various predictors of the IBNR reserve, parametric and non-parametric, using a data set. |
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| ISSN: | 0515-0361 1783-1350 |
| DOI: | 10.2143/AST.27.1.563209 |