Title

Estimation of loss reserves with lognormal development factors

Authors

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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