Confidence bounds for discounted loss reserves.
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Publication:1423361
DOI10.1016/S0167-6687(03)00155-0zbMath1103.91367OpenAlexW2123704094MaRDI QIDQ1423361
Tom Hoedemakers, Jan Beirlant, Marc J. Goovaerts, Jan Dhaene
Publication date: 14 February 2004
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00155-0
Related Items (9)
Quantile approximations in auto-regressive portfolio models ⋮ The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts ⋮ “Risk and Discounted Loss Reserves,” Greg Taylor, January 2004 ⋮ On the distribution of discounted loss reserves using generalized linear models ⋮ Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval ⋮ Computation of convex bounds for present value functions with random payments ⋮ Two approximations of the present value distribution of a disability annuity ⋮ Some asymptotic results for sums of dependent random variables, with actuarial applications ⋮ Approximations for life annuity contracts in a stochastic financial environment
Cites Work
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- On the estimation of reserves from loglinear models
- The concept of comonotonicity in actuarial science and finance: theory.
- The concept of comonotonicity in actuarial science and finance: applications.
- UMVUE of the IBNR reserve in a lognormal linear regression model
- IBNR-claims and the two-way model of ANOVA
- Upper and lower bounds for sums of random variables
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