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IBNR models with random delay distributions. (English) Zbl 0770.62093

Summary: The mechanisms governing occurrence and notification of insurance claims are represented by a stochastic model, which allows for random fluctuations in the underlying delay distribution. Moments of first and second order are given, thus enabling one to calculate the efficiency of linear IBNR predictors.

MSC:

62P05 Applications of statistics to actuarial sciences and financial mathematics
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[1] DOI: 10.2143/AST.18.1.2014962 · doi:10.2143/AST.18.1.2014962
[2] Neuhaus W., Scandinavian Actuarial Journal 9 pp 151– (1992) · Zbl 0770.62092 · doi:10.1080/03461238.1992.10413906
[3] Norberg R., Scandinavian Actuarial Journal pp 155– (1986)
[4] Van Eeghen J., Loss reserving methods (1981)
[5] DOI: 10.2143/AST.17.1.2014984 · doi:10.2143/AST.17.1.2014984
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