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Document Details :
Title: A Semi-Parametric Predictor of the IBNR Reserve
Author(s): DORAY, L.G.
Journal: ASTIN Bulletin
Volume: 27 Issue: 1 Date: May 1997
We develop a semi-parametric predictor of the IBNR reserve in a macro-model when the claim amount for a certain accident and development year can be expressed in a loglinear form composed of a deterministic part and a random error We need to make assumptions only on the first two moments of the error, without any specified parametric assumption on its distribution We give its properties, present its advantages and compare the estimates obtained with various predictors of the IBNR reserve, parametric and non-parametric, using a data set.