Abstract
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.
Keywords: Chain-ladder; regression; least-squares; smearing estimator.
Volume
27:1
Page
113-116
Year
1997
Categories
Financial and Statistical Methods
Statistical Models and Methods
Regression
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Actuarial Applications and Methodologies
Reserving
Uncertainty and Ranges
Publications
ASTIN Bulletin
