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Document Details : Title: A Statistical Approach to IBNR-reserves in Marine Reinsurance Author(s): HERTIG, Joakim Journal: ASTIN Bulletin Volume: 15 Issue: 2 Date: November 1985 Pages: 171-183 DOI: 10.2143/AST.15.2.2015027 Abstract : The run off-pattern of long-term reinsurance treaties is described by means and standard deviations of logarithmic increments of premiums and loss ratios in a normal distribution. From this description forecasts of ultimate claims and current IBNR-reserves are derived, with associated distributions and confidence limits. Aggregation from individual treaties to portfolio level is proposed by normal approximation. Security loading of IBNR-reserves is proposed by a contingency reserve at portfolio level. |
