PROCEEDINGS May 15, 16, 17, 18, 2005 - Casualty Actuarial Society

480 A NEW METHOD OF ESTIMATING LOSS RESERVESREFERENCES[1] Berquist, J. R., and R. E. Sherman, “Loss Reserve Adequacyand Testing: A Comprehensive, Systematic Approach,”PCAS LXII, 1977, pp. 123—184.[2] Booth, P., R. Chadburn, D. Cooper, S. Haberman, and D.James, Modern Actuarial Theory and Practice, Chapman &Hall/CRC, 1999.[3] Bornhuetter, R. L., and R. E. Ferguson, “The Actuary andIBNR,” PCAS LIX, 1972, pp. 181—195.[4] Bratley,P.,B.L.Fox,andL.E.Schrage,A Guide to Simulation,Springer-Verlag, 1983.[5] Bühlmann, H., E. Straub, and R. Schnieper, “Claims Reservesin Casualty Insurance Based on a ProbabilisticModel,” Mitteilungen der Vereinidung Schweizerischer Versicherungsmathematiker1, 1980, pp. 21—46.[6] David, H. A., Order Statistics, (2nd edition), John Wiley &Sons, 1981.[7] De Alba, E., “Bayesian Estimation of Outstanding ClaimReserves,” North American Actuarial Journal 6:4, 2002, pp.1—20.[8] England, P. D., and R. J. Verrall, “Stochastic Claims Reservingin General Insurance,” Presented to the Institute of Actuaries,January 28, 2002, http://www.actuaries.org.uk/files/pdf/sessional/sm0201.pdf.[9] Feller, W., An Introduction to Probability and Its Application,(2nd edition), John Wiley & Sons, 1971.[10] Fishman, G. S., Monte Carlo: Concepts, Algorithms, andApplications, Springer-Verlag, 1996.[11] Kalos, M. H., and P. A. Whitlock, Monte Carlo MethodsVolume 1: Basics, John Wiley & Sons, 1986.[12] Maurer, W., and B. H. Margolin, “The Multivariate Inclusion-ExclusionFormula and Order Statistics from DependentVariates,” Annals of Statistics 4:6, 1976, pp. 1190—1199.