On the distribution of IBNR reserves

DOI10.1016/S0167-6687(99)00008-6MaRDI QIDQ1962811zbMATH OpenOpenAlexWikidataFDO

Authors Hendrik Redant, Marc J. Goovaerts

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

zbMATH Keywords

extremal elementstop-loss orderingIBNR reserves

Mathematics Subject Classification ID

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

Recommendations

• A contribution to modelling of IBNR claims
• IBNR reserves under stochastic interest rates
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• Stochastic modelling of insurance liabilities
• Analysis of IBNR liabilities with interevent times depending on claim counts

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
• Forecasting runoff triangles
• Some problems in actuarial finance involving sums of dependent risks
• A contribution to modelling of IBNR claims
• scientific article; zbMATH DE number 1996545 (Why is no real title available?)
• 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.
• On risk reserve under distribution constraints
• The hurdle-race problem.

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