
Open access
Datum
2016Typ
- Journal Article
ETH Bibliographie
yes
Altmetrics
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. Mehr anzeigen
Persistenter Link
https://doi.org/10.3929/ethz-b-000121851Publikationsstatus
publishedExterne Links
Zeitschrift / Serie
RisksBand
Seiten / Artikelnummer
Verlag
MDPIThema
Claims arrival; Reporting delay function; Individual claims data; Granular claims data; Claims reserving; Poisson chain-ladder methodOrganisationseinheit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)
ETH Bibliographie
yes
Altmetrics