Skip to main content
SpringerLink
Log in

A Stochastic Minimax Model to Calculate Outstanding Claims

  • Published:
International Advances in Economic Research Aims and scope Submit manuscript

Abstract

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Barnett, G.; Zehnwirth, B. “Best Estimates for Reserves,” Casualty Actuarial Society Fall Forum, 1, 1998, pp. 1–53.

    Google Scholar 

  • de Vylder, F. “Estimation of IBNR Claims by Least Squares,” Bulletin of the Association of Swiss Actuaries, 78, 1978, pp. 247–54.

    Google Scholar 

  • England, P.; Verrall, R. “Analytic and Bootstrap Estimates of Prediction Errors in Claims Reserving,” Insurance: Mathematics and Economics, 25 (3), 1999, pp. 281–93.

    Article  Google Scholar 

  • Halliwell, L. “Loss Prediction by Generalized Least Squared,” Proceedings of the Casualty Actuarial Society, LXXXIII (159), 1996, pp. 436–89.

    Google Scholar 

  • Kremer, E. “IBNR Claims and the Two-Way Model of ANOVA,” Scandinavian Actuarial Journal, 1, 1982, pp. 47–55.

    Google Scholar 

  • Mack, T. “Measuring the Variability of Chain Ladder Reserve Estimates,” Casualty Actuarial Society Spring Forum, 1, 1994, pp. 101–82.

    Google Scholar 

  • Verrall, R. “Statistical Methods for the Chain Ladder Technique,” Casualty Actuarial Society Spring Forum, 2, 1994, pp. 393–445.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Rey Juan Carlos University, Madrid, Spain

    Antonio Ibarra Alfaraz, Santiago Leguey Galán, Ana Isabel Cid Cid & Ana Belén Rabadán Gómez

Authors
  1. Antonio Ibarra Alfaraz
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. Santiago Leguey Galán
    View author publications

    You can also search for this author in PubMed Google Scholar

  3. Ana Isabel Cid Cid
    View author publications

    You can also search for this author in PubMed Google Scholar

  4. Ana Belén Rabadán Gómez
    View author publications

    You can also search for this author in PubMed Google Scholar

Corresponding author

Correspondence to Antonio Ibarra Alfaraz.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Ibarra Alfaraz, A., Leguey Galán, S., Cid Cid, A.I. et al. A Stochastic Minimax Model to Calculate Outstanding Claims. Int Adv Econ Res 12, 523–529 (2006). https://doi.org/10.1007/s11294-006-9047-x

Download citation

  • Received:

  • Accepted:

  • Published:

  • Issue Date:

  • DOI: https://doi.org/10.1007/s11294-006-9047-x

JEL

Search

Navigation