An application of randomly truncated data models in reserving IBNR claims

A compound Poisson model of IBNR claims is considered and methods of statis tical inference under this model using the techniques well known from the a nalysis of survival time data are investigated. It is shown that the result s on statistical analysis of non-parametric model for randomly truncated da ta can be used to obtain a simple estimate of IBNR claims which, among othe r things, allows for easy construction of confidence bounds. (C)1999 Elsevi er Science B.V. All rights reserved.