Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077427 | Insurance: Mathematics and Economics | 2010 | 12 Pages |
Abstract
We present a novel stochastic model for claims reserving that allows us to combine claims payments and incurred losses information. The main idea is to combine two claims reserving models (Hertig's (1985) model and Gogol's (1993) model ) leading to a log-normal paid-incurred chain (PIC) model. Using a Bayesian point of view for the parameter modelling we derive in this Bayesian PIC model the full predictive distribution of the outstanding loss liabilities. On the one hand, this allows for an analytical calculation of the claims reserves and the corresponding conditional mean square error of prediction. On the other hand, simulation algorithms provide any other statistics and risk measure on these claims reserves.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Michael Merz, Mario V. Wüthrich,