Claims Reserving in Continuous Time; A Nonparametric Bayesian Approach

Svend Haastrup and Elja Arjas

ASTIN Bulletin, 1996, vol. 26, issue 2, 139-164

Abstract: Occurrences and developments of claims are modelled as a marked point process. The individual claim consists of an occurrence time, two covariates, a reporting delay, and a process describing partial payments and settlement of the claim. Under certain likelihood assumptions the distribution of the process is described by 14 one-dimensional components. The modelling is nonparametric Bayesian. The posterior distribution of the components and the posterior distribution of the outstanding IBNR and RBNS liabilities are found simultaneously. The method is applied to a portfolio of accident insurances.

Date: 1996
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