UMVUE of the IBNR reserve in a lognormal linear regression model

DOI10.1016/0167-6687(95)00027-5MaRDI QIDQ1921982zbMATH OpenOpenAlexWikidataFDO

Authors Louis G. Doray

Publication date 12 January 1997

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6687(95)00027-5

zbMATH Keywords

meanvariancemaximum likelihood estimatorIBNR claimsuniformly minimum variance unbiased estimatorchain ladder modellognormal linear regression model

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

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Cites work

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• IBNR-claims and the two-way model of ANOVA
• On the estimation of reserves from loglinear models
• Uniformly minimum variance unbiased estimation in lognormal and related distributions

Cited in

(11)

• Loss prediction based on run-off triangles
• Generalized log-normal chain-ladder
• Adjusting for reporting delay in cancer incidence when combining different sets of cancer registries
• Efficient mean estimation in log-normal linear models
• Some problems in actuarial finance involving sums of dependent risks
• Bayesian Estimation of Outstanding Claim Reserves
• Stochastie Scadeninflation in IBNR;Stochastic claims inflation in IBNR
• Confidence bounds for discounted loss reserves.
• Lognormal mixed models for reported claims reserves
• On the distribution of IBNR reserves
• The geometric chain-ladder

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