Next Article in Journal
Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies
Next Article in Special Issue
Telematics and Gender Discrimination: Some Usage-Based Evidence on Whether Men’s Risk of Accidents Differs from Women’s
Previous Article in Journal
High-Frequency Financial Econometrics
Previous Article in Special Issue
Multivariate Frequency-Severity Regression Models in Insurance
Article Menu

Export Article

Open AccessArticle

Analysis of Insurance Claim Settlement Process with Markovian Arrival Processes

Department of Statistical and Actuarial Sciences, University ofWestern Ontario, London, ON N5X 0B3, Canada
Academic Editor: Montserrat Guillén
Received: 8 December 2015 / Revised: 3 February 2016 / Accepted: 7 March 2016 / Published: 11 March 2016
Full-Text   |   PDF [251 KB, uploaded 11 March 2016]   |  


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. View Full-Text
Keywords: Incurred But Not Reported (IBNR) losses; Markovian Arrival Processes Incurred But Not Reported (IBNR) losses; Markovian Arrival Processes

Figure 1

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).

Share & Cite This Article

MDPI and ACS Style

Ren, J. Analysis of Insurance Claim Settlement Process with Markovian Arrival Processes. Risks 2016, 4, 6.

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



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