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Prediction of Outstanding Liabilities II. Model Variations and Extensions

Published online by Cambridge University Press:  29 August 2014

Ragnar Norberg
Ragnar Norberg*
Affiliation:
University of Copenhagenand London School of Economics
*
Laboratory of Actuarial Mathematics, Universitetsparken5, DK-2100 Copenhagen Ø, Denmark, Statistics Department, London School of Economics and Political Science, Houghton Street, London WC2A 2AE, United Kingdom
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Abstract

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This is a follow-up of a previous paper by the author, where claims reserving in non-life insurance is treated in the framework of a marked Poisson claims process. A key result on decomposition of the process is generalized, and a number of related results are added. Their usefulness is demonstrated by examples and, in particular, the connection to the analogous discrete time model is clarified. The problem of predicting the outstanding part of reported but not settled claims is revisited and, by way of example, solved in a model where the partial payments are governed by a Dirichlet process. The process of reported claims is examined, and its dual relationship to the process of occurred claims is pointed out.

Keywords

Claims reservingmarked Poisson processdecompositionthinningamalgamationDirichlet processdiscrete vs. continuous time
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 29 , Issue 1 , May 1999 , pp. 5 - 25
Copyright
Copyright © International Actuarial Association 1999

References

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Norberg, R. (1993). Prediction of outstanding liabilities in non-life insurance. ASTIN Bull. 23: 95–115.Google Scholar