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Volume 3, Issue 1, February 2015, Page: 6-13
A Power Law Extrapolation – Interpolation Method for IBNR Claims Reserving
Werner Hürlimann, Swiss Mathematical Society, Fribourg, Switzerland
Received: Jan. 13, 2015;       Accepted: Jan. 22, 2015;       Published: Feb. 2, 2015
Abstract
To calculate claims reserves more frequently than the usual yearly periods for which ultimate loss development factors are available, it is necessary to perform an extrapolation prior to the time marking the end of the first development year and an interpolation for each successive development year. A simple power law extrapolation – interpolation method is developed and illustrated for monthly and quarterly sub-periods.
Keywords
Claims Reserving, IBNR Reserve, Loss Development Factors, Interpolation, Extrapolation, Power Law
Werner Hürlimann, A Power Law Extrapolation – Interpolation Method for IBNR Claims Reserving, Science Journal of Applied Mathematics and Statistics. Vol. 3, No. 1, 2015, pp. 6-13. doi: 10.11648/j.sjams.20150301.12
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