Confidence bounds for discounted loss reserves.

DOI10.1016/S0167-6687(03)00155-0zbMath1103.91367OpenAlexW2123704094MaRDI QIDQ1423361

Tom Hoedemakers, Jan Beirlant, Marc J. Goovaerts, Jan Dhaene

Publication date: 14 February 2004

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(03)00155-0

zbMATH Keywords

SimulationConfidence boundComonotonicityIBNR

Mathematics Subject Classification ID

Parametric tolerance and confidence regions (62F25)

Related Items (9)

Quantile approximations in auto-regressive portfolio models ⋮ The stratified sampling bootstrap for measuring the uncertainty in mortality forecasts ⋮ “Risk and Discounted Loss Reserves,” Greg Taylor, January 2004 ⋮ On the distribution of discounted loss reserves using generalized linear models ⋮ Evaluating and extending the Lee\,-\,Carter model for mortality forecasting: bootstrap confidence interval ⋮ Computation of convex bounds for present value functions with random payments ⋮ Two approximations of the present value distribution of a disability annuity ⋮ Some asymptotic results for sums of dependent random variables, with actuarial applications ⋮ Approximations for life annuity contracts in a stochastic financial environment

Cites Work

• Unnamed Item
• On the estimation of reserves from loglinear models
• The concept of comonotonicity in actuarial science and finance: theory.
• The concept of comonotonicity in actuarial science and finance: applications.
• UMVUE of the IBNR reserve in a lognormal linear regression model
• IBNR-claims and the two-way model of ANOVA
• Upper and lower bounds for sums of random variables

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