Some Bounds of Outstanding Claims Reserve Distribution by NBUE
- Resource Type
- Conference
- Authors
- Liu, Yan; Zai, Guangjun
- Source
- 2009 International Conference on Business Intelligence and Financial Engineering Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on. :639-642 Jul, 2009
- Subject
- Communication, Networking and Broadcast Technologies
Computing and Processing
General Topics for Engineers
Optical character recognition software
Insurance
Companies
Mathematics
Distribution functions
Mathematical model
Upper bound
Investments
Data models
Density functional theory
Outstanding claims reserve
queueing model
distribution class
- Language
In order to solve the reserve problem of the insurance company, this paper studies the Outstanding Claims Reserve(OCR) distribution function by establishing their queuing models. When the claim distribution is NBUE class, we use the character of the distribution class to analyze the OCR distribution. So we obtain some useful upper bounds and lower bounds of the OCR distribution by the mean and variance of the claim. Furthermore, we also give an example to illustrate the approximate effect of these bounds. This empirical results show that these bounds of the OCR are approximated to the truth and redound to reserve equal OCR for the insurance company.