Risk measures have been studied for several decades in the actuarial literature, where they appeared under the guise of premium calculation principles. Risk measures and properties that risk measures should satisfy have recently received considerable attention in the financial mathematics...

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...