Abstract
AbstractWe develop a semi-parametric predictor of the IBNR reserve in a macro-model when the claim amount for a certain accident and development year can be expressed in a loglinear form composed of a deterministic part and a random error. We need to make assumptions only on the first two moments of the error, without any specified parametric assumption on its distribution. We give its properties, present its advantages and compare the estimates obtained with various predictors of the IBNR reserve, parametric and non-parametric, using a data set.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Reference5 articles.
1. IBNR-claims and the two-way model of ANOVA
2. Smearing Estimate: A Nonparametric Retransformation Method
3. UMVUE of the IBNR Reserve in a Lognormal Linear Regression Model;Doray;Insurance: Mathematics and Economics,1996
Cited by
1 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献