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The fuzzy Bornhuetter–Ferguson method: an approach with fuzzy numbers

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  • Heberle, Jochen
  • Thomas, Anne

Abstract

This paper shows how the well-known Bornhuetter–Ferguson claims-reserving method can be extended by applying fuzzy methods. The a priori information for the ultimate claims derives from market statistics, organisational data, etc. and might contain vagueness. Likewise, the parameters of the claims development pattern can be vague or are adapted, retrospectively, due to subjective judgement. With the help of fuzzy numbers we develop new predictors for the ultimate claims. Furthermore, we quantify the uncertainty of the ultimate claims for single and aggregated accident years.

Suggested Citation

  • Heberle, Jochen & Thomas, Anne, 2016. "The fuzzy Bornhuetter–Ferguson method: an approach with fuzzy numbers," Annals of Actuarial Science, Cambridge University Press, vol. 10(2), pages 303-321, September.
    • Handle: RePEc:cup:anacsi:v:10:y:2016:i:02:p:303-321_00
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    Cited by:

    1. Valandis Elpidorou & Carolin Margraf & María Dolores Martínez-Miranda & Bent Nielsen, 2019. "A Likelihood Approach to Bornhuetter–Ferguson Analysis," Risks, MDPI, vol. 7(4), pages 1-20, December.

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