A Stochastic Minimax Model to Calculate Outstanding Claims

Autor:	Antonio Ibarra Alfaraz, Ana Belén Rabadán Gómez, Ana Isabel Cid Cid, Santiago Leguey Galán
Rok vydání:	2006
Předmět:	Incurred but not reported Estimation Economics and Econometrics Actuarial science Financial stability Process (engineering) Bayesian probability Econometrics Economics Estimator Minimax General Economics Econometrics and Finance
Zdroj:	International Advances in Economic Research. 12:523-529
ISSN:	1573-966X 1083-0898
DOI:	10.1007/s11294-006-9047-x
Popis:	Correct estimation of the Outstanding Claims Reserve, an item that includes Incurred But Not Reported Claims (IBNR) as well as Incurred But Not Enough Reserved Claims (IBNER), is one of the most important issues currently facing actuarial science, due to its effect on the technical and financial stability of insurance companies. The purpose of this paper is to calculate the reserve in a decision-making environment, so that estimates can be made according to accurately defined and previously established rational criteria. Specifically, the estimating process enables a company’s particular situation to be taken into account, by incorporating its approach to the consequences arising from estimation errors into the model. The proposed calculation method gives rise to optimum link ratio estimators that can also be interpreted from a Bayesian perspective, with the advantages associated to such methodology.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::620796bf516d1d052547ee8edc20b769 https://doi.org/10.1007/s11294-006-9047-x Zobrazit plný text záznamu Plný text ve formátu PDF