Understanding Reporting Delay in General Insurance
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Author / Producer
Date
2016
Publication Type
Journal Article
ETH Bibliography
yes
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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.
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Publication status
published
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Editor
Book title
Journal / series
Volume
4 (3)
Pages / Article No.
25
Publisher
MDPI
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Claims arrival; Reporting delay function; Individual claims data; Granular claims data; Claims reserving; Poisson chain-ladder method
Organisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)