Analysis of IBNR claims in renewal insurance models

David Landriault, Gordon E. Willmot and Di Xu

Scandinavian Actuarial Journal, 2017, vol. 2017, issue 7, 628-650

Abstract: Incurred but not reported (IBNR) claims, which arise naturally in insurance contexts, are of central importance to insurers for risk management and financial reporting purposes. In this paper, we first examine the moments of the total discounted IBNR claim amount at a given time t≥0$ t \ge 0 $ when claim events occur according to a compound renewal process. Under the same claim arrival dynamic, we later consider the joint moments of the total discounted IBNR claim amount and the total incurred and reported claim amount at possibly different time points, a quantity of much interest for claim reserving purposes. In the second part of this article, we examine in more detail properties of the IBNR claim number under specific distributional assumptions for the reporting lags and the interarrival times. Among others, the self-decomposability of the IBNR claim number process is considered when claim events occur according to a compound Poisson process.

Date: 2017
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DOI: 10.1080/03461238.2016.1225265

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