A stochastic method for claims reserving in general insurance

Thomas Wright

73 citations0/0 files storedJournal of the Institute of Actuaries

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Probability and Risk Models Insurance and Financial Risk Management Insurance, Mortality, Demography, Risk Management

Abstract

Abstract The paper addresses the problem of estimating future claim payments from the ‘run-off’ of past claim payments. A model of the claim payment process is postulated. Results from risk theory are applied to give a model for the incremental paid claims data by development period. A fitting method is developed which takes account of the error structure of the data implied by the underlying model of the claim payment process. The application of a similar method to incremental incurred data is considered. A numerical example is given.

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References

1976Bayesian Forecasting 1982IBNR-claims and the two-way model of ANOVA 1978Risk Theory: The Stochastic Basis of Insurance.1983Claims reserving, state-space models and the Kalman filter

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2002Bayesian Estimation of Outstanding Claim Reserves 2010Prediction of RBNS and IBNR Claims using Claim Amounts and Claim Counts 2003Claims Reserving Using Tweedie's Compound Poisson Model 1991Chain ladder and maximum likelihood 2006Forecasting Runoff Triangles 2015Loss Reserving: Past, Present and Future

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