A Statistical Approach to IBNR-Reserves in Marine Reinsurance
- 1 November 1985
- journal article
- Published by Cambridge University Press (CUP) in ASTIN Bulletin
- Vol. 15 (2) , 171-183
- https://doi.org/10.2143/ast.15.2.2015027
Abstract
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
This publication has 3 references indexed in Scilit:
- IBNR-claims and the two-way model of ANOVAScandinavian Actuarial Journal, 1982
- The credibility approach to experience ratingScandinavian Actuarial Journal, 1979
- Separation of Inflation and other Effects from the Distribution of Non-Life Insurance Claim DelaysASTIN Bulletin, 1977