Prediction of Claim Numbers Based on Hazard Rates

In this paper the problem of evaluating IBNR claims is tackled by the hazard rates approach. Both the separation method and the chain ladder method can be incorporated in the semiparametric Cox model, a very popular specification among the methods based on proportional hazard rates. In addition the present procedures allow for extensions, based on exogenous factors.

Keywords: Loss reserving; IBNR; (Proportional) hazard rates; Semiparametric estimation