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Separating True IBNR and IBNER Claims1

Published online by Cambridge University Press:  29 August 2014

R. Schnieper
R. Schnieper*
Affiliation:
Winterthur, Switzerland
*
‘Winterthur’ Swiss Insurance Company, Rudolfstr. 1, P.O. Box 286, CH-8401 Winterthur, Switzerland.
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Abstract

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A simple model for IBNR claims is presented. Estimates for the loss reserves and for the ultimate claims rate are derived. Approximations to the mean square error of the estimators are produced. A more specific parametric model is suggested for the case that we deal with claim numbers instead of claim amounts. The general method is illustrated by a practical application to the pricing of a casualty excess of loss cover.

Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 21 , Issue 1 , April 1991 , pp. 111 - 127
Copyright
Copyright © International Actuarial Association 1991

Footnotes

1

The Paper has been presented at the XXIth ASTIN Colloquium in New York under the title ‘A Pragmatic IBNR Method’.

References

REFERENCES

[1] Bornhuetter, R. L. and Ferguson, R.E. (1972) The Actuary and IBNR. Proceedings of the Casualty Actuarial Society LIX, 181–195.Google Scholar
[2] Loss Reserving Methods. Surveys of Actuarial Studies No 1, a publication of the Nationale-Nederlanden N.V., 1981.Google Scholar
[3] Straub, E. (1988) Non-Life Insurance Mathematics. Springer Verlag.CrossRefGoogle Scholar