In a non-life insurance business an insurer often needs to build up a reserve to be able to meet his future obligations arising from claims that are known to exist, but for which the actual size is unknown at the time the reserves have to be set. The delay of the actual payment of the claims is, for example, due to long legal procedures or difficulties in determining the size of the claims. The...

We present a novel stochastic model for claims reserving that allows to combine claims payments and incurred losses information. The main idea is to combine two claims reserving models (Hertig’s model [11] and Gogol’s model [8]) leading to a log-normal paid-incurred chain (PIC) model. Using a Bayesian point of view for the parameter modelling we derive in this Bayesian PIC model the full predic...

This paper is concerned with the situation that occurs in claims reserving when there are negative values in the development triangle of incremental claim amounts. Typically these negative values will be the result of salvage recoveries, payments from third parties, total or partial cancellation of outstanding claims due to initial overestimation of the loss or to a possible favorable jury deci...

The prediction of outstanding loss liabilities for a non-life run-o -portfolio as well as the quanti cation of the prediction error is one of the most important actuarial tasks in non-life insurance. In this paper we consider this prediction problem in a multivariate context. More precisely, we derive the predictive distribution of the claims reserves simultaneously for several correlated run-o...

This paper deals with the prediction of the amount of outstanding claims that an insurance company will pay in the near future. We consider various competing models using Bayesian theory and Markov chain Monte Carlo methods. Claim counts are used in order to add a further hierarchical stage in the usual log-normaland state-space models. By this way, we incorporate information from both the outs...

We study the use of intermediated assets as media of exchange in a neoclassical growth model. An intermediary is delegated control over productive capital and finances itself by issuing claims against the revenue generated by its operations. Unlike physical capital, intermediated claims are assumed to be liquid—they constitute a form of asset-backed money. The intermediary is assumed to control...

Abstract We present a claims reserving technique that uses claim-specific feature and past payment information in order to estimate reserves for individual reported claims. design one single neural network allowing us expected future cash flows every claim. introduce consistent way of using dropout layers fit the incomplete time series payments. A proof concept is provided by applying this mode...

We consider the problem of claims reserving and estimating run-off triangles. We generalize the gamma cell distributions model which leads to Tweedie’s compound Poisson model. Choosing a suitable parametrization, we estimate the parameters of our model within the framework of generalized linear models (see Jørgensen-de Souza [2] and Smyth-Jørgensen [8]). We show that these methods lead to reaso...

Accurate loss reserves are essential for insurers to maintain adequate capital and to efficiently price their insurance products. Loss reserving for Property & Casualty insurance is usually based on macro-level models with aggregate data in a run-off triangle. The macro-level models may generate material errors in the reserve estimates when assumptions underlying the estimates evolve over time ...

Presents the recipients of select PES society awards.