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Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims

Published online by Cambridge University Press:  09 August 2013

Huijuan Liu  and
Richard Verrall
Richard Verrall
Affiliation:
Faculty of Actuarial Science and Insurance, Cass Business School, City University, 106 Bunhill Row, London EC1Y 8TZ, E-Mail: r.j.verrall@city.ac.uk, Tel: 0207 040 8476
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Abstract

This paper considers the model suggested by Schnieper (1991), which separates the true IBNR claims from the IBNER. Stochastic models are defined, using both recursive and non-recursive procedures, within the framework of the models described in England and Verrall (2002). Approximations to the prediction error of the reserves are derived analytically.

Some extensions to the original Schnieper model are also disussed, together with other possible applications of this type of model.

Keywords

Bornhuetter-Fergusonchain ladderclaims reservingpredictive distribution
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 39 , Issue 1 , May 2009 , pp. 35 - 60
Copyright
Copyright © International Actuarial Association 2009

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References

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