Correction Note to Prediction of Outstanding Liabilities in Non-Life Insurance, AB 23, 95-115

Ragnar Norberg

ASTIN Bulletin, 1999, vol. 29, issue 1, 27-27

Abstract: 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′}, isSuppose 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

Date: 1999
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