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Understanding Reporting Delay in General Insurance

Author

Listed:
  • Richard J. Verrall

    (Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8T2, UK
    These authors contributed equally to this work.)

  • Mario V. Wüthrich

    (ETH Zurich, RiskLab, Department of Mathematics, Zurich 8092, Switzerland
    Swiss Finance Institute, Walchestrasse 9, Zurich CH-8006, Switzerland
    These authors contributed equally to this work.)

Abstract

The aim of this paper is to understand and to model claims arrival and reporting delay in general insurance. We calibrate two real individual claims data sets to the statistical model of Jewell and Norberg. One data set considers property insurance and the other one casualty insurance. For our analysis we slightly relax the model assumptions of Jewell allowing for non-stationarity so that the model is able to cope with trends and with seasonal patterns. The performance of our individual claims data prediction is compared to the prediction based on aggregate data using the Poisson chain-ladder method.

Suggested Citation

  • Richard J. Verrall & Mario V. Wüthrich, 2016. "Understanding Reporting Delay in General Insurance," Risks, MDPI, vol. 4(3), pages 1-36, July.
    • Handle: RePEc:gam:jrisks:v:4:y:2016:i:3:p:25-:d:73548
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    References listed on IDEAS

    as
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    Cited by:

    1. Sebastian Calcetero-Vanegas & Andrei L. Badescu & X. Sheldon Lin, 2023. "Claim Reserving via Inverse Probability Weighting: A Micro-Level Chain-Ladder Method," Papers 2307.10808, arXiv.org, revised Jun 2024.
    2. Jan Janoušek & Michal Pešta, 2025. "Bagging and regression trees in individual claims reserving," Statistical Papers, Springer, vol. 66(4), pages 1-26, June.

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