Estimation of loss reserves with lognormal development factors

    Authors

    Z. X. Han;W. C. Gau

    Comments

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    Abbreviated Journal Title

    Insur. Math. Econ.

    Keywords

    development factors; lognormal distribution; unbiased estimation; CLAIMS; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, ; Mathematical Methods; Statistics & Probability

    Abstract

    This paper uses a development technique to estimate the loss reserve in a classical run-off triangle setting. Closed-form solutions for unbiased estimates of reserves and their corresponding standard errors can be obtained by assuming lognormal distributions of the development factors. The technique is applied to the Bornhuetter-Ferguson method [Bornhuetter, R.L., Ferguson, R.E., 1972. The actuary and IBNR. Proc. Casualty Actuarial Soc. 59, 181-195] and to two previously studied data sets. (C) 2007 Elsevier B.V. All rights reserved.

    Journal Title

    Insurance Mathematics & Economics

    Volume

    42

    Issue/Number

    1

    Publication Date

    1-1-2008

    Document Type

    Article

    Language

    English

    First Page

    389

    Last Page

    395

    WOS Identifier

    WOS:000253326600035

    ISSN

    0167-6687

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