Prediction of outstanding insurance claims ∗ Claudia
نویسندگان
چکیده
Building reserves for outstanding liabilities is an important issue in the financial statement of any insurance company. In this paper we present a new model for delay in claim settlement and to predict IBNR (incurred but not reported) claims. The modelling is based on a data set of a portfolio of car liability data, which describes the claim settlement of a car insurance portfolio. The data consists of about 5 000 realisations of claims, all of which incurred in 1985 and were followed until the end of 1993. In our model, the total claim amount process (S(t))t≥0 is described by a Poisson shot noise model, i.e.
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