A marked Cox model for the number of IBNR claims: Theory

Andrei L. Badescu, X. Sheldon Lin and Dameng Tang

Insurance: Mathematics and Economics, 2016, vol. 69, issue C, 29-37

Abstract: Incurred but not reported (IBNR) loss reserving is an important issue for Property & Casualty (P&C) insurers. To calculate IBNR reserve, one needs to model claim arrivals and then predict IBNR claims. However, factors such as temporal dependence among claim arrivals and environmental variation are often not incorporated in many of the current loss reserving models, which may greatly affect the accuracy of IBNR predictions.

Keywords: IBNR claims; Loss reserving; Cox model; Hidden Markov chain; Temporal dependence; Pascal mixture (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (15)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:69:y:2016:i:c:p:29-37

DOI: 10.1016/j.insmatheco.2016.03.016

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