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Understanding Reporting Delay in General Insurance

Richard J. Verrall () and Mario V. Wüthrich ()
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Richard J. Verrall: Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8T2, UK
Mario V. Wüthrich: ETH Zurich, RiskLab, Department of Mathematics, Zurich 8092, Switzerland

Risks, 2016, vol. 4, issue 3, 1-36

Abstract: The aim of this paper is to understand and to model claims arrival and reporting delay in general insurance. We calibrate two real individual claims data sets to the statistical model of Jewell and Norberg. One data set considers property insurance and the other one casualty insurance. For our analysis we slightly relax the model assumptions of Jewell allowing for non-stationarity so that the model is able to cope with trends and with seasonal patterns. The performance of our individual claims data prediction is compared to the prediction based on aggregate data using the Poisson chain-ladder method.

Keywords: claims arrival; reporting delay function; individual claims data; granular claims data; claims reserving; Poisson chain-ladder method (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 M2 M4 K2 (search for similar items in EconPapers)
Date: 2016
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