Estimation of loss reserves with lognormal development factors

Zhongxian Han and Wu-Chyuan Gau

Insurance: Mathematics and Economics, 2008, vol. 42, issue 1, 389-395

Abstract: This paper uses a development technique to estimate the loss reserve in a classical run-off triangle setting. Closed-form solutions for unbiased estimates of reserves and their corresponding standard errors can be obtained by assuming lognormal distributions of the development factors. The technique is applied to the Bornhuetter-Ferguson method [Bornhuetter, R.L., Ferguson, R.E., 1972. The actuary and IBNR. Proc. Casualty Actuarial Soc. 59, 181-195] and to two previously studied data sets.

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:42:y:2008:i:1:p:389-395

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