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Correction Note to Prediction of Outstanding Liabilities in Non-Life Insurance, AB 23, 95-115
Published online by Cambridge University Press: 29 August 2014
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1. In (4.17) a factor W is missing in the numerator of the expression in the middle.
2. The predictor of Xorns proposed in Paragraph 5B is not unbiased in general as a simple counterexample will show. The proposed reserve on an individual orns claim with past history T, U, V > υ′ = τ – T – U, {Y′(υ″); 0 ≤ υ″ ≤ υ′}, is
Suppose that Y = V and Y′(υ″) = Q(υ″/V)V, 0 ≤ υ″ ≤ V, where Q is a non-decreasing, deterministic function on [0,1] such that Q(0) = 0 and Q(1) = 1. In this case R = E[V∣T, U, V > Y′(υ′)] – Y′(υ′). If Q(s) > s for all s ∈ (0, 1), then Y′(υ′) = Q(υ′/V)V > υ′, hence
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- Copyright © International Actuarial Association 1999
References
Additional references
Haastrup, S. (1997). Some fully Bayesian micro models for claims reserving. Ph.D. thesis, Laboratory of Actuarial Mathematics, University of Copenhagen.Google Scholar
Norberg, R. (1999). Prediction of outstanding claims II: Model variations and extensions. ASTIN Bull. 29, No. 1, 5–25.Google Scholar
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