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mCube: Multinomial Micro-level reserving Model

Author

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  • Emmanuel Jordy Menvouta
  • Jolien Ponnet
  • Robin Van Oirbeek
  • Tim Verdonck

Abstract

This paper presents a multinomial multi-state micro-level reserving model, denoted mCube. We propose a unified framework for modelling the time and the payment process for IBNR and RBNS claims and for modeling IBNR claim counts. We use multinomial distributions for the time process and spliced mixture models for the payment process. We illustrate the excellent performance of the proposed model on a real data set of a major insurance company consisting of bodily injury claims. It is shown that the proposed model produces a best estimate distribution that is centered around the true reserve.

Suggested Citation

  • Emmanuel Jordy Menvouta & Jolien Ponnet & Robin Van Oirbeek & Tim Verdonck, 2022. "mCube: Multinomial Micro-level reserving Model," Papers 2212.00101, arXiv.org.
    • Handle: RePEc:arx:papers:2212.00101
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    References listed on IDEAS

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