Predictive Distributions for Reserves Which Separate True IBNR and IBNER Claims

This paper considers the model suggested by Schnieper (1991), which separates the true IBNR claims from the IBNER. Stochastic models are defined, using both recursive and non-recursive procedures, within the framework of the models described in England and Verrall (2002). Approximations to the prediction of error of the reserves are derived analytically.

Some extensions to the original Schnieper model are also discussed, together with other possible applications of this type of model.

Keywords: Bornhuetter-Ferguson; chain-ladder; claims reserving; predictive distribution.