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On the distribution of IBNR reserves. (English) Zbl 0949.62087

Summary: Starting from a basic IBNR model, for which variations in the three dimensions of the problem are considered such as e.g. given by L.G. Doray [ibid. 18, No. 1, 43-57 (1996; Zbl 0853.62078)], the random fluctuations in the direction of the calendar years is modelized, taking into account the apparatus of financial mathematics. The method can be extended to take into account random fluctuations in the other directions of the problem (such as development and year of origin direction). The results are based on supermodularity order, such that, in the framework of stop-loss ordering, one obtains the distribution of the IBNR reserve corresponding to an extremal element in this ordering, when some marginals are fixed. The results obtained in this way are general in that sense that all of the possible dependencies between the variables are allowed.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
91B28 Finance etc. (MSC2000)

Citations:

Zbl 0853.62078
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References:

[1] Bäuerle, N.; Müller, A., Modelling and comparing dependencies in multivariate risk portfolio’s, Astin bulletin, 28, 1, 59-61, (1998) · Zbl 1137.91484
[2] Goovaerts, M.J., Kaas, R., van Heerwaarden, A., Bauwelinckx, T., Effective Actuarial Methods, Insurance Series vol. 3, North-Holland, Amsterdam.
[3] Doray, L.G., UMVUE of the IBNR reserve in a lognormal linear regression model, Insurance mathematics and economics, 18, 1, 43-58, (1996) · Zbl 0853.62078
[4] Barnett, G., Zehnwirth, B., 1998. Best estimates for reserves, Casualty Actuarial Society Forum, 1-54.
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