Description: After reading the Panjer-Bellhouse paper in the Proceedings of the Ball State University Conference, I wondered whether their technique could be used when a realistic investment process was assumed. I believe that such an extension is necessary if the theory is to have any practical application I have had little success in trying to do this. I have decided to present some thoughts and to invite others with different perspectives to bring them to fruition.

Description: All claim reserve systems endeavor to derive estimates of the unpaid portion of claims which have been incurred over a given period of time, making use of information on numbers of claims and amounts paid on claims as of the valuation date. In this paper, a claim reserve system is described. While the system does produce the traditional type of single-point estimates of claim reserves, it also provides the user with frequency distributions of claim reserves