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 in Doray, 1996. The knowledge of the distribution function of the discounted IBNR...

In the traditional approach to life contingencies only decrements are assumed to be stochastic. In this contribution we consider the distribution of a life annuity (and a portfolio of life annuities) when also the stochastic nature of interest rates is taken into account. Although the literature...

We investigate lower and upper bounds for right tails (stop-loss premiums) of deterministic and stochastic sums of nonindependent random variables. The bounds are derived using the concepts of comonotonicity, convex order, and conditioning. The performance of the presented approximations is...