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Modelling of Discretized Claim Numbers in Loss Reserving

Published online by Cambridge University Press:  29 August 2014

Ole Hesselager
Ole Hesselager*
Affiliation:
University of Copenhagen, Laboratory of Actuarial Mathematics
*
University of Copenhagen, Laboratory of Actuarial Mathematics, Universitetsparken 5, DK-2J00 Copenhagen Ø, Denmark
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Abstract

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We investigate the usual method of discretizing loss reserving data by calendar year and show how this procedure may introduce fluctuations in the delay probabilities. These fluctuations, when treated as random fluctuations, possess a special correlation structure and we present a simple credibility method accounting for these fluctuations. The results are illustrated by a numerical example.

Keywords

Loss reservingClaim numbersPoisson processDiscretizing by calendar yearVariations in delay probabilitiesCredibility adjustments
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 25 , Issue 2 , November 1995 , pp. 119 - 135
Copyright
Copyright © International Actuarial Association 1995

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