Estimation of loss reserves with lognormal development factors |
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Authors: | Zhongxian Han Wu-Chyuan Gau |
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Affiliation: | University of Central Florida, United States |
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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. |
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Keywords: | Development factors Lognormal distribution Unbiased estimation |
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