Next Article in Journal
Using Climate and Weather Data to Support Regional Vulnerability Screening Assessments of Transportation Infrastructure
Previous Article in Journal
Lead–Lag Relationship Using a Stop-and-Reverse-MinMax Process
Previous Article in Special Issue
Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window
Article Menu

Export Article

Open AccessFeature PaperArticle
Risks 2016, 4(3), 25; doi:10.3390/risks4030025

Understanding Reporting Delay in General Insurance

1
Cass Business School, City University London, 106 Bunhill Row, London EC1Y 8T2, UK
2
ETH Zurich, RiskLab, Department of Mathematics, Zurich 8092, Switzerland
3
Swiss Finance Institute, Walchestrasse 9, Zurich CH-8006, Switzerland
These authors contributed equally to this work.
*
Author to whom correspondence should be addressed.
Academic Editor: Montserrat Guillén
Received: 9 February 2016 / Revised: 10 June 2016 / Accepted: 29 June 2016 / Published: 8 July 2016

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. View Full-Text
Keywords: claims arrival; reporting delay function; individual claims data; granular claims data; claims reserving; Poisson chain-ladder method claims arrival; reporting delay function; individual claims data; granular claims data; claims reserving; Poisson chain-ladder method
Figures

This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

Verrall, R.J.; Wüthrich, M.V. Understanding Reporting Delay in General Insurance. Risks 2016, 4, 25.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Risks EISSN 2227-9091 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top