Prediction of Outstanding Liabilities II. Model Variations and Extensions

This is a follow-up of a previous paper by the author, where claims reserving m non-life insurance as treated in the framework of a marked Poisson claims process A key result on decomposition of the process as generalized, and a number of related results are added. Their usefulness is demonstrated by examples and, in particular, the connection to the analogous discrete tame model is clarified. The problem of predicting the outstanding part of reported but not settled claims is revisited and, by way of example, solved in a model where the partial payments are governed by a Dirichlet process The process of reported claims is examined, and its dual relationship to the process of occurred claims is pointed out. KEYWORDS Claims reserving, marked Poisson process; decomposition, thinning, amalgamation; Dirichlet process; discrete vs. continuous time