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Improved estimation of IBNR claims by credibility theory. (English) Zbl 0695.62235
Summary: The model of F. De Vylder [ibid. 1, 35-40 (1982; Zbl 0504.62091)] has been slightly improved upon and generalized. In De Vylder’s model one assumption does not seem to be realistic in many cases and another is not satisfactory from a theoretical point of view. The model presented here has been found to be a special case of the Bühlmann and Straub credibility model.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
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[1] De Vylder, F., Estimation of IBNR claims by credibility theory, Insurance: mathematics & economics, 1, 35-40, (1982) · Zbl 0504.62091
[2] Gerathewohl, K., Rückversicherung – grundlagen und praxis, I, (1976), Verlag Versicherungswirtschaft Karlsruhe, was published in 1980
[3] Goovaerts, M.J.; Hoogstad, W.J., Credibility theory, Surveys of actuarial studies, No. 4, (1987), Nationale-Nederlanden Rotterdam
[4] Hesselager, O.; Witting, Th., A credibility model with random fluctuations in delay probabilities for the prediction of IBNR claims, Astin bulletin, 18, 79-90, (1988)
[5] Norberg, R., A contribution to modelling IBNR claims, Scandinavian actuarial journal, 155-203, (1986) · Zbl 0648.62106
[6] Taylor, G.C., Claims reserving in non-life insurance, (1986), Elsevier Amsterdam · Zbl 0584.62171
[7] Witting, Th., Kredibilitätsschätzungen für die anzahl IBNR-schäden, Blätter der DGVM, XVIII, 45-58, (1987)
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