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 this paper we present an efficient methodology for approximating the distribution function of the net present value of a series of cash-flows, when the discounting is presented by a stochastic differential equation as in the Vasicek model and in the Ho-Lee model. Upper and lower bounds in...

In most practical cases, it is impossible to find an explicit expression for the distribution function of the present value of a sequence of cash flows that are discounted using a stochastic return process.In this paper, we present an easy computable approximation for this distribution function....

In this paper, we investigate the relationship between comonotonicity and stoploss order. We prove our main results by using a characterization of stop-loss order within the framework of Yaari's (1987) dual theory of choice under risk. Wang and Dhaene (1997) explore related problems in the case...