Analysis of IBNR Liabilities with Interevent Times Depending on Claim Counts

Daniel J. Geiger () and Akim Adekpedjou
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Daniel J. Geiger: Missouri University of Science and Technology
Akim Adekpedjou: Missouri University of Science and Technology

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 2, 815-829

Abstract: Abstract We extend a recently proposed stochastic loss reserving model for liabilities from incurred but not reported (IBNR) micro-level claims. We propose viewing the number of claims from an event as a measure of catastrophic severity. This view covers catastrophes with arbitrarily many classes of magnitude. Our Markovian model allows the time between disasters to depend on the previous event’s level of severity. Simultaneously, we let the discount rate vary in the same manner. First, we find the moments of IBNR liabilities in our model. Then, we permit a later time horizon for IBNR claims when considered jointly with incurred and reported claims.

Keywords: IBNR; Markov renewal models; Markovian discount rates; Random thresholds; Catastrophes (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s11009-022-09950-5

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