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Claims Reserving in Continuous Time; A Nonparametric Bayesian Approach

Published online by Cambridge University Press:  29 August 2014

Svend Haastrup  and
Elja Arjas
Svend Haastrup
Affiliation:
Laboratory of Actuarial Mathematics, Universitetsparken 5, 2100 København Ø, Denmark
Elja Arjas
Affiliation:
Department of Applied Mathematics and Statistics, University of Oulu, Linnanmaa 90570, Oulu, Finland
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Abstract

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Occurrences and developments of claims are modelled as a marked point process. The individual claim consists of an occurrence time, two covariates, a reporting delay, and a process describing partial payments and settlement of the claim. Under certain likelihood assumptions the distribution of the process is described by 14 one-dimensional components. The modelling is nonparametric Bayesian. The posterior distribution of the components and the posterior distribution of the outstanding IBNR and RBNS liabilities are found simultaneously. The method is applied to a portfolio of accident insurances.

Keywords

IBNR and RBNS liabilitiesmarked point processmissing dataMarkov chain Monte Carlo
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 26 , Issue 2 , November 1996 , pp. 139 - 164
Copyright
Copyright © International Actuarial Association 1996

References

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