Date of Award

6-1997

Degree Name

Doctor of Philosophy

Department

Mathematics

First Advisor

Dr. Joshua D. Naranjo

Second Advisor

Dr. Joseph W. McKean

Third Advisor

Dr. Gerald L. Sievers

Fourth Advisor

Dr. J. C. Wang

Abstract

There is often a considerable time lag between an incurred of an accident, such as medical malpractice or product liability, and the time it is reported to the insurance company. These Incurred But Not Reported (IBNR) losses need to be predicted in order to determine the necessary loss reserves. Many actuarial methods have been developed for IBNR reserves estimation. However, none of the methods being used for loss reserving is robust to outliers, nor do they provide adequate statistical inferences to support the actuarial decisions. The rank-based method proposed in this thesis is robust to outliers, and provides statistical inference for testing hypotheses. This rank-based method also calculates the R^2 , an indicator of goodness of fit, and approximates the standard error for calculating the confidence interval of IBNR.

Comments

Fifth Advisor: Dr. Thomas J. Vidmar

Access Setting

Dissertation-Open Access

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