UMVUE of the IBNR reserve in a lognormal linear regression model

DOI10.1016/0167-6687(95)00027-5zbMath0853.62078OpenAlexW2003440659WikidataQ127207454 ScholiaQ127207454MaRDI QIDQ1921982

Louis G. Doray

Publication date: 12 January 1997

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

Full work available at URL: https://doi.org/10.1016/0167-6687(95)00027-5

zbMATH Keywords

meanvariancemaximum likelihood estimatoruniformly minimum variance unbiased estimatorIBNR claimschain ladder modellognormal linear regression model

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Point estimation (62F10)

Related Items (11)

Loss prediction based on run-off triangles ⋮ The geometric chain-ladder ⋮ Generalized log-normal chain-ladder ⋮ Confidence bounds for discounted loss reserves. ⋮ On the distribution of IBNR reserves ⋮ Bayesian Estimation of Outstanding Claim Reserves ⋮ Adjusting for reporting delay in cancer incidence when combining different sets of cancer registries ⋮ Efficient mean estimation in log-normal linear models ⋮ Stochastie Scadeninflation in IBNR;Stochastic claims inflation in IBNR ⋮ Some problems in actuarial finance involving sums of dependent risks ⋮ Lognormal Mixed Models for Reported Claims Reserves

Cites Work

• On the estimation of reserves from loglinear models
• Uniformly minimum variance unbiased estimation in lognormal and related distributions
• IBNR-claims and the two-way model of ANOVA
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