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Individual claims reserving: a survey

Author

Listed:
  • Alexandre Boumezoued

    (R&D, Milliman, Paris - Milliman France)

  • Laurent Devineau

    (R&D, Milliman, Paris - Milliman France)

Abstract

This paper surveys the stochastic modelling of individual claims occurrence and development for reserving purposes in non-life (general) insurance. The paper revisits the continuous time stochastic modelling framework of Norberg (1993) and Hesselager (1994), and provides a consistent presentation of the modelling, inference, and forecasting (with simulation and closed-forms) of individual claims histories as well as aggregate quantities as the overall reserve for both RBNS and IBNR claims. Numerical illustrations are given based on real portfolio datasets, as well as comparisons with classical triangle-based methods.

Suggested Citation

  • Alexandre Boumezoued & Laurent Devineau, 2017. "Individual claims reserving: a survey," Working Papers hal-01643929, HAL.
    • Handle: RePEc:hal:wpaper:hal-01643929
    Note: View the original document on HAL open archive server: https://hal.science/hal-01643929
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    Cited by:

    1. Swishchuk, Anatoliy & Zagst, Rudi & Zeller, Gabriela, 2021. "Hawkes processes in insurance: Risk model, application to empirical data and optimal investment," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 107-124.

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