Abstract
In this paper we give some methods to set up confidence bounds for the discounted IBNR reserve. We start with a loglinear regression model and estimate the parameters by maximum likelihood such as given, for example, by Doray [Insur.: Math. Econ. 18 (1996) 43]. The knowledge of the distribution function of the discounted IBNR reserve ( S) will help us to determine the initial reserve, for example, through the 95th percentile F −1 S (0.95). The results are based on convex order techniques, such that our approximations for the distribution function of S are larger or smaller, in convex order sense, than the true distribution function of S.
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