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A Statistical Approach to IBNR-Reserves in Marine Reinsurance*

Published online by Cambridge University Press:  29 August 2014

Joakim Hertig
Joakim Hertig*
Affiliation:
Baltica-Nordisk Re, Copenhagen
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Abstract

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The run off-pattern of long-term reinsurance treaties is described by means and standard deviations of logarithmic increments of premiums and loss ratios in a normal distribution. From this description forecasts of ultimate claims and current IBNR-reserves are derived, with associated distributions and confidence limits. Aggregation from individual treaties to portfolio level is proposed by normal approximation. Security loading of IBNR-reserves is proposed by a contingency reserve at portfolio level.

Keywords

Run off patternlognormal distributionIBNR reservescontingency reservesmarine reinsurance
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 15 , Issue 2 , November 1985 , pp. 171 - 183
Copyright
Copyright © International Actuarial Association 1985

Footnotes

*

A previous version of this paper was presented to the Astin colloqium at Lindau, Germany, October 1983.

References

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Taylor, G. C. (1977) Separation of Inflation and Other Effects from the Distribution of Non-Life Insurance Claim Delays. Astin Bulletin 9, 217–230.CrossRefGoogle Scholar