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An invariance principle for the analysis of non-life insurance claims

Published online by Cambridge University Press:  20 April 2012

G. C. Taylor
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Summary

The paper is concerned initially with the admissibility of particular claim payment models. Admissibility is restricted by the requirement that, if claims escalation is excluded, the amount of outstanding claims at any epoch of development of a generation of claims should be independent of the future speed of finalization.

This simple requirement represents an invariance condition. The problem of admissibility of models can therefore be approached in the manner of invariance problems in physics. Standard techniques of variational calculus are used.

Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 110 , Issue 1 , June 1983 , pp. 205 - 242
Copyright
Copyright © Institute and Faculty of Actuaries 1983

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References

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