Please use this identifier to cite or link to this item:
Ren, Jiandong
Year of Publication: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Year:] 2016 [Issue:] 1 [Pages:] 1-10
This paper proposes a model for the claim occurrence, reporting, and handling process of insurance companies. It is assumed that insurance claims occur according to a Markovian arrival process. An incurred claim goes through some stages of a claim reporting and handling process, such as Incurred But Not Reported (IBNR), Reported But Not Settled (RBNS) and Settled (S). We derive formulas for the joint distribution and the joint moments for the amount of INBR, RBNS and Settled claims. This model generalizes previous ones in the literature, which generally assume Poisson claim arrivals. Due to the flexibility of the Markovian arrival process, the model can be used to evaluate how the claim occurring, reporting, and handling mechanisms may affect the volatilities of the amount of IBNR, RBNS and Settled claims, and the interdependencies among them.
Incurred But Not Reported (IBNR) losses
Markovian Arrival Processes
Persistent Identifier of the first edition: 
Creative Commons License:
Document Type: 
Appears in Collections:

Files in This Item:
250.92 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.