A Statistical Approach to IBNR-Reserves in Marine Reinsurance

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 pattern, Lognormal distribution, IBNR reserves, contingency reserves, marine reinsurance.