IDEAS home Printed from https://ideas.repec.org/a/gam/jrisks/v4y2016i1p6-d65552.html

Analysis of Insurance Claim Settlement Process with Markovian Arrival Processes

Author

Listed:
  • Jiandong Ren

    (Department of Statistical and Actuarial Sciences, University ofWestern Ontario, London, ON N5X 0B3, Canada)

Abstract

This paper proposes a model for the claim occurrence, reporting, and handling process of insurance companies. It is assumed that insurance claims occur according to a Markovian arrival process. An incurred claim goes through some stages of a claim reporting and handling process, such as Incurred But Not Reported (IBNR), Reported But Not Settled (RBNS) and Settled (S). We derive formulas for the joint distribution and the joint moments for the amount of INBR, RBNS and Settled claims. This model generalizes previous ones in the literature, which generally assume Poisson claim arrivals. Due to the flexibility of the Markovian arrival process, the model can be used to evaluate how the claim occurring, reporting, and handling mechanisms may affect the volatilities of the amount of IBNR, RBNS and Settled claims, and the interdependencies among them.

Suggested Citation

  • Jiandong Ren, 2016. "Analysis of Insurance Claim Settlement Process with Markovian Arrival Processes," Risks, MDPI, vol. 4(1), pages 1-10, March.
    • Handle: RePEc:gam:jrisks:v:4:y:2016:i:1:p:6-:d:65552
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-9091/4/1/6/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-9091/4/1/6/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. repec:cup:astinb:v:24:y:1994:i:02:p:183-193_00 is not listed on IDEAS
    2. repec:cup:astinb:v:19:y:1989:i:02:p:139-152_00 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hyunjoo Yoo & Bara Kim & Jeongsim Kim & Jiwook Jang, 2020. "Transform approach for discounted aggregate claims in a risk model with descendant claims," Annals of Operations Research, Springer, vol. 293(1), pages 175-192, October.

    More about this item

    Keywords

    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jrisks:v:4:y:2016:i:1:p:6-:d:65552. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager The email address of this maintainer does not seem to be valid anymore. Please ask MDPI Indexing Manager to update the entry or send us the correct address (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.