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A stochastic method for claims reserving in general insurance

Published online by Cambridge University Press:  20 April 2012

T. S. Wright
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Abstract

The paper addresses the problem of estimating future claim payments from the ‘run-off’ of past claim payments. A model of the claim payment process is postulated. Results from risk theory are applied to give a model for the incremental paid claims data by development period. A fitting method is developed which takes account of the error structure of the data implied by the underlying model of the claim payment process. The application of a similar method to incremental incurred data is considered. A numerical example is given.

Keywords

ClaimsGeneral InsuranceKalman filterReservesQuasi-likelihood
Type
Research Article
Information
Journal of the Institute of Actuaries , Volume 117 , Issue 3 , December 1990 , pp. 677 - 731
Copyright
Copyright © Institute and Faculty of Actuaries 1990

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