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A micro-level claim count model with overdispersion and reporting delays

Benjamin Avanzi, Bernard Wong and Xinda Yang

Insurance: Mathematics and Economics, 2016, vol. 71, issue C, 1-14

Abstract: The accurate estimation of outstanding liabilities of an insurance company is an essential task. This is to meet regulatory requirements, but also to achieve efficient internal capital management. Over the recent years, there has been increasing interest in the utilisation of insurance data at a more granular level, and to model claims using stochastic processes. So far, this so-called ‘micro-level reserving’ approach has mainly focused on the Poisson process.

Keywords: Cox process; Shot noise; Insurance claims counts; Markov chain Monte Carlo; Filtering (search for similar items in EconPapers)
JEL-codes: C51 C53 C55 G22 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.insmatheco.2016.07.002

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