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A Semi-Parametric Predictor of the IBNR Reserve

Published online by Cambridge University Press:  29 August 2014

Louis G. Doray
Louis G. Doray*
Affiliation:
Université de Montréal
*
Département de mathématiques et de statistique, Université de Montréal, C.P. 6128, Succ. Centre-ville. Montréal, Qué., CanadaH3C 3J7
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Abstract

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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.

Keywords

Chain-ladderregressionleast-squaressmearing estimator
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 27 , Issue 1 , May 1997 , pp. 113 - 116
Copyright
Copyright © International Actuarial Association 1997

References

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Kremer, E. (1982). IBNR claims and the two-way model of ANOVA. Scandinavian Actuarial Journal, 47–55.CrossRefGoogle Scholar
Taylor, G. C. (1986). Claims reserving in non-life insurance. North-Holland, Amsterdam.Google Scholar
Zehnwirth, B. (1990). Interactive Claims Reserving Forecasting System, Version 5.3, Manual Volume 1, Benhar Nominees Pty. Ltd., Australia.Google Scholar