A continuous-time model for claims reserving

• Autorzy: T. Rolski , A. Tomanek
• Języki publikacji: EN

Abstrakty

EN

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.

Kategorie tematyczne

• 60K30: Applications (congestion, allocation, storage, traffic, etc.)
• 60G55: Point processes
• 91B30: Risk theory, insurance

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Applicationes Mathematicae
• Rocznik: 2014
• Tom: 41
• Numer: 4
• Strony: 277-300

Daty

wydano

2014

Twórcy

autor

T. Rolski

• Mathematical Institute, University of Wrocław, Pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland

autor

A. Tomanek

• Mathematical Institute, University of Wrocław, Pl. Grunwaldzki 2/4, 50-384 Wrocław, Poland

Identyfikatory

DOI

10.4064/am41-4-1