Estimating IBNR claim reserves using Gaussian Fuzzy Numbers

Authors

DOI:

https://doi.org/10.19094/contextus.2023.83343

Keywords:

claims reserve, fuzzy logic, fuzzy numbers, IBNR, estimating

Abstract

The study aimed to propose a new approach to the chain-ladder method using for that Gaussian Fuzzy Numbers. For that, the text introduces concepts and establishes new perspectives that allow not just the use of this kind of fuzzy number in the claim estimation context but also in other areas of knowledge, corroborating, in that way, to the expansion of the adoption of fuzzy logics in a general sense. The results indicates that the adoption of the proposed method offers huge benefits when compared to the traditional approach and previous works exploring other kind of fuzzy numbers.

Keywords: claim reserves; fuzzy logic; fuzzy numbers; IBNR.

Author Biographies

Ismael Sampaio Bastos, Federal University of Rio de Janeiro (UFRJ)

Master’s student in Statistics at the Federal University of Rio de Janeiro (UFRJ) 

Graduated in Actuarial Science from the Fluminense Federal University (UFF) 

Leonardo Bruno Vana, Fluminense Federal University (UFF)

Professor at the Fluminense Federal University (UFF) 

PhD in Systems Engineering and Computer Science from the Federal University of Rio de Janeiro (UFRJ) 

Carolina Cardoso Novo, Fluminense Federal University (UFF)

Professor at the Fluminense Federal University (UFF) 

PhD student in Sustainable Management Systems at the Fluminense Federal University (UFF) 

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Published

2023-10-17

How to Cite

Bastos, I. S., Vana, L. B., & Novo, C. C. (2023). Estimating IBNR claim reserves using Gaussian Fuzzy Numbers. Contextus - Contemporary Journal of Economics and Management, 21(esp.1), e83343. https://doi.org/10.19094/contextus.2023.83343

Issue

Vol. 21 No. esp.1 (2023): Special Edition - Actuarial Sciences

Section

Chamada Especial - Ciências Atuariais

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