Ӧ�ø���ͳ�� 2015, 31(3) 289-308 DOI:      ISSN: 1001-4268 CN: 31-1256

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Individual RBNS Loss Reserving in Discrete Time Model
Huang Jinlong, Wu Xianyi
Department of Statistics and Actuarial Science, East China Normal University
Abstract:

In this paper, we investigate the RBNS reserving problem in a discrete
time model. The individual RBNS reserving is evaluated with the unknown quantities in the RBNS
reserve replaced by their estimates. The parameters related to the settlement delay are
estimated using the method of maximum likelihood and the weak convergence of the estimates are
studied. The conditional means in the RBNS reserve are estimated by the Watson-Nadaraya
estimate. Moreover, the weak convergence of the aggregate RBNS reserving computed by the chain
ladder algorithm are also studied. Simulation studies in finite sample case show that the
individual method has smaller MSE compared to the the aggregate method.

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