Estimation of loss reserves with lognormal development factors
Abbreviated Journal Title
Insur. Math. Econ.
development factors; lognormal distribution; unbiased estimation; CLAIMS; Economics; Mathematics, Interdisciplinary Applications; Social Sciences, ; Mathematical Methods; Statistics & Probability
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.
Insurance Mathematics & Economics
"Estimation of loss reserves with lognormal development factors" (2008). Faculty Bibliography 2000s. 429.