Abstract
Arjas presents a stochastic model of the casualty insurance mechanism that makes use of martingales and "point processes." This differs from the collective risk approaches (frequency and severity) and also from the more ad hoc forecast models that are based solely on the development triangles. There appear to be significant practical questions regarding the underlying distributions that must be answered before this can be used in practice.
Volume
19:2
Page
139-152
Year
1989
Categories
Actuarial Applications and Methodologies
Reserving
Reserving Methods
Financial and Statistical Methods
Loss Distributions
Publications
ASTIN Bulletin
