Title

Estimation Of Loss Reserves With Lognormal Development Factors

Keywords

Development factors; Lognormal distribution; Unbiased estimation

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. © 2007 Elsevier Ltd. All rights reserved.

Publication Date

2-1-2008

Publication Title

Insurance: Mathematics and Economics

Volume

42

Issue

1

Number of Pages

389-395

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1016/j.insmatheco.2007.04.006

Socpus ID

38649097838 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/38649097838

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