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2014 | 41 | 4 | 277-300
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A continuous-time model for claims reserving

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Prediction of outstanding liabilities is an important problem in non-life insurance. In the framework of the Solvency II Project, the best estimate must be derived by well defined probabilistic models properly calibrated on the relevant claims experience. A general model along these lines was proposed earlier by Norberg (1993, 1999), who suggested modelling claim arrivals and payment streams as a marked point process. In this paper we specify that claims occur in [0,1] according to a Poisson point process, possibly non-homogeneous, and that each claim initiates a stream of payments, which is modelled by a non-homogeneous compound Poisson process. Consecutive payment streams are i.i.d. and independent of claim arrivals. We find estimates for the total payment in an interval (v,v+s], where v≥1, based upon the total payment up to time v. An estimate for Incurred But Not Reported (IBNR) losses is also given.
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  • Mathematical Institute, University of Wrocław, Pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland
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  • Mathematical Institute, University of Wrocław, Pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland
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bwmeta1.element.bwnjournal-article-doi-10_4064-am41-4-1
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