Bayesian Modelling of Outstanding Liabilities Incorporating Claim Count Uncertainty

Abstract
This paper deals with the prediction of the amount of outstanding automobile 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 to add a further hierarchical stage in the model with log-normally distributed claim amounts and its corresponding state space version. This way, we incorporate information from both the outstanding claim amounts and counts data resulting in new model formulations. Implementation details and illustrations with real insurance data are provided.
Volume
6:1
Page
113-136
Year
2002
Categories
Actuarial Applications and Methodologies
Reserving
Claims Handling
Financial and Statistical Methods
Loss Distributions
Frequency
Financial and Statistical Methods
Simulation
Monte Carlo Valuation
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Business Areas
Automobile
Publications
North American Actuarial Journal
Authors
Petros Dellaportas
Ioannis Ntzoufras