Individual claims reserving: a survey

Alexandre Boumezoued (1) , Laurent Devineau (1)

1 R&D, Milliman, Paris

This paper surveys the stochastic modelling of individual claims occurrence and development for reserving purposes in non-life (general) insurance. The paper revisits the continuous time stochastic modelling framework of Norberg (1993) and Hesselager (1994), and provides a consistent presentation of the modelling, inference, and forecasting (with simulation and closed-forms) of individual claims histories as well as aggregate quantities as the overall reserve for both RBNS and IBNR claims. Numerical illustrations are given based on real portfolio datasets, as well as comparisons with classical triangle-based methods.

Mots clés: Non-life/General insurance; Stochastic reserving; Individual claims reserving; Poisson point processes; Process and estimation errors; Thinning algorithm

Domaines: Probabilités [math.PR]; Applications [stat.AP]; Gestion des risques [q-fin.RM]

Alexandre Boumezoued, Laurent Devineau. Individual claims reserving: a survey. 2017. ⟨hal-01643929⟩