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...

Following the quot;time-capitalquot; approach of De Vylder (1997) it is shown that a fair life insurance contract can uniquely be separated into a fair savings and a fair pure risk contract. It is also shown that a fair life insurance contract can be separated into a fair associated stochastic...