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2 results

  • A Credibility Model with Random Fluctuations in Delay Probabilities for the Prediction of IBNR Claims(*)

  • Ole Hesselager, Thomas Witting
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 18 / Issue 1 / April 1988
    Published online by Cambridge University Press:
    29 August 2014, pp. 79-90
    Print publication:
    April 1988
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  • We consider a general credibility model for the prediction of IBNR-claims which allows for random fluctuations in the underlying delay distribution. Such fluctuations always bring about decreasing credibility. It is shown that even negative credibility is achieved for more substantial fluctuations in the delay distribution. Special attention is paid to the mixed Poisson case for claim numbers including the discussion of parameter estimation.

  • The Linear Markov Property in Credibility Theory

  • Thomas Witting
  • Journal:
    ASTIN Bulletin: The Journal of the IAA / Volume 17 / Issue 1 / April 1987
    Published online by Cambridge University Press:
    29 August 2014, pp. 71-84
    Print publication:
    April 1987
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  • We study the linear Markov property, i.e. the possibility of basing the credibility estimator on data of the most recent time period without loss of accuracy. Necessary and sufficient conditions are derived generally. The meaning of the linear Markov property is also discussed in different experience rating and loss reserving models.