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Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims

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  • Liu, Huijuan
  • Verrall, Richard

Abstract

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 error of the reserves are derived analytically. Some extensions to the original Schnieper model are also disussed, together with other possible applications of this type of model.

Suggested Citation

  • Liu, Huijuan & Verrall, Richard, 2009. "Predictive Distributions for Reserves which Separate True IBNR and IBNER Claims," ASTIN Bulletin, Cambridge University Press, vol. 39(1), pages 35-60, May.
    • Handle: RePEc:cup:astinb:v:39:y:2009:i:01:p:35-60_00
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    Cited by:

    1. Emmanuel Jordy Menvouta & Jolien Ponnet & Robin Van Oirbeek & Tim Verdonck, 2022. "mCube: Multinomial Micro-level reserving Model," Papers 2212.00101, arXiv.org.
    2. Badescu, Andrei L. & Lin, X. Sheldon & Tang, Dameng, 2016. "A marked Cox model for the number of IBNR claims: Theory," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 29-37.

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