The fuzzy Bornhuetter–Ferguson method: an approach with fuzzy numbers

Jochen Heberle and Anne Thomas

Annals of Actuarial Science, 2016, vol. 10, issue 2, 303-321

Abstract: This paper shows how the well-known Bornhuetter–Ferguson claims-reserving method can be extended by applying fuzzy methods. The a priori information for the ultimate claims derives from market statistics, organisational data, etc. and might contain vagueness. Likewise, the parameters of the claims development pattern can be vague or are adapted, retrospectively, due to subjective judgement. With the help of fuzzy numbers we develop new predictors for the ultimate claims. Furthermore, we quantify the uncertainty of the ultimate claims for single and aggregated accident years.

Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:cup:anacsi:v:10:y:2016:i:02:p:303-321_00

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