Individual claims reserving: a survey

Alexandre Boumezoued () and Laurent Devineau ()
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Alexandre Boumezoued: R&D, Milliman, Paris - Milliman France
Laurent Devineau: R&D, Milliman, Paris - Milliman France

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Abstract: This paper surveys the stochastic modelling of individual claims occurrence and development for reserving purposes in non-life (general) insurance. The paper revisits the continuous time stochastic modelling framework of Norberg (1993) and Hesselager (1994), and provides a consistent presentation of the modelling, inference, and forecasting (with simulation and closed-forms) of individual claims histories as well as aggregate quantities as the overall reserve for both RBNS and IBNR claims. Numerical illustrations are given based on real portfolio datasets, as well as comparisons with classical triangle-based methods.

Keywords: Non-life/General insurance; Stochastic reserving; Individual claims reserving; Poisson point processes; Process and estimation errors; Thinning algorithm (search for similar items in EconPapers)
Date: 2017-11-21
Note: View the original document on HAL open archive server: https://hal.science/hal-01643929
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