On the distribution of IBNR reserves

DOI10.1016/S0167-6687(99)00008-6zbMATH Open0949.62087OpenAlexW2049409348WikidataQ128054768 ScholiaQ128054768MaRDI QIDQ1962811FDOQ1962811

Marc J. Goovaerts, Hendrik Redant

Publication date: 21 November 2000

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(99)00008-6

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zbMATH Keywords

extremal elementstop-loss orderingIBNR reserves

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• UMVUE of the IBNR reserve in a lognormal linear regression model

Cited In (11)

• Supermodular ordering and stochastic annuities
• Some problems in actuarial finance involving sums of dependent risks
• A contribution to modelling of IBNR claims
• Title not available (Why is that?)
• Upper and lower bounds for sums of random variables
• Some limiting properties of the bounds of the present value function of a life insurance portfolio
• The concept of comonotonicity in actuarial science and finance: theory.
• Confidence bounds for discounted loss reserves.
• Forecasting Runoff Triangles
• On risk reserve under distribution constraints
• The hurdle-race problem.

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