Hostname: page-component-cd9895bd7-mkpzs Total loading time: 0 Render date: 2024-12-26T07:17:31.206Z Has data issue: false hasContentIssue false
  • English
  • Français

A Statistical Approach to IBNR-Reserves in Marine Reinsurance*

Published online by Cambridge University Press:  29 August 2014

Joakim Hertig
Joakim Hertig*
Affiliation:
Baltica-Nordisk Re, Copenhagen
Rights & Permissions [Opens in a new window]

Abstract

Core share and HTML view are not available for this content. However, as you have access to this content, a full PDF is available via the ‘Save PDF’ action button.

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.

Keywords

Run off patternlognormal distributionIBNR reservescontingency reservesmarine reinsurance
Type
Workshop
Information
ASTIN Bulletin: The Journal of the IAA , Volume 15 , Issue 2 , November 1985 , pp. 171 - 183
Copyright
Copyright © International Actuarial Association 1985

Footnotes

*

A previous version of this paper was presented to the Astin colloqium at Lindau, Germany, October 1983.

References

Büblmann, H., Schnieper, R. and Straub, E. (1980) Claims Reserves in Casuality Insurance based on a Probabilistic Model. Mitteilungen der Vereinigung Schweizerischer Versicherungsmathematiker 1, 21–45.Google Scholar
Kremer, F. (1982) IBNR-claims and the Two-way model of ANOVA. Scandinavian Actuarial Joumal 47–55.CrossRefGoogle Scholar
Norberg, R. (1979) The Credibility Approach to Experience Rating. Scandinavian Actuarial Joumal 181–221.CrossRefGoogle Scholar
Taylor, G. C. (1977) Separation of Inflation and Other Effects from the Distribution of Non-Life Insurance Claim Delays. Astin Bulletin 9, 217–230.CrossRefGoogle Scholar