Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167892
Authors: 
Verrall, Richard J.
Wüthrich, Mario V.
Year of Publication: 
2016
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 1-36
Abstract: 
The aim of this paper is to understand and to model claims arrival and reporting delay in general insurance. We calibrate two real individual claims data sets to the statistical model of Jewell and Norberg. One data set considers property insurance and the other one casualty insurance. For our analysis we slightly relax the model assumptions of Jewell allowing for non-stationarity so that the model is able to cope with trends and with seasonal patterns. The performance of our individual claims data prediction is compared to the prediction based on aggregate data using the Poisson chain-ladder method.
Subjects: 
claims arrival
reporting delay function
individual claims data
granular claims data
claims reserving
Poisson chain-ladder method
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
Appears in Collections:

Files in This Item:
File
Size





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