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Understanding Reporting Delay in General Insurance

Author

Listed:
  • Richard J. Verrall

    (Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8T2, UK
    These authors contributed equally to this work.)

  • Mario V. Wüthrich

    (ETH Zurich, RiskLab, Department of Mathematics, Zurich 8092, Switzerland
    Swiss Finance Institute, Walchestrasse 9, Zurich CH-8006, Switzerland
    These authors contributed equally to this work.)

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.

Suggested Citation

  • Richard J. Verrall & Mario V. Wüthrich, 2016. "Understanding Reporting Delay in General Insurance," Risks, MDPI, vol. 4(3), pages 1-36, July.
    • Handle: RePEc:gam:jrisks:v:4:y:2016:i:3:p:25-:d:73548
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    References listed on IDEAS

    as
    1. Larsen, Christian Roholte, 2007. "An Individual Claims Reserving Model," ASTIN Bulletin, Cambridge University Press, vol. 37(1), pages 113-132, May.
    2. Haastrup, Svend & Arjas, Elja, 1996. "Claims Reserving in Continuous Time; A Nonparametric Bayesian Approach," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 139-164, November.
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    12. Norberg, Ragnar, 1993. "Prediction of Outstanding Liabilities in Non-Life Insurance1," ASTIN Bulletin, Cambridge University Press, vol. 23(1), pages 95-115, May.
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    Cited by:

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