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A Credibility Model with Random Fluctuations in Delay Probabilities for the Prediction of IBNR Claims(*)

Published online by Cambridge University Press:  29 August 2014

Ole Hesselager  and
Thomas Witting
Ole Hesselager*
Affiliation:
University of Copenhagen, Denmark
Thomas Witting*
Affiliation:
Bavarian Reinsurance Company (Munich), FRG
*
Laboratory of Actuarial Math., University of Copenhagen, Universitetsparken 5, DK-2100 Copenhagen Ø, Denmark.
Bavarian Reinsurance Company, Sederanger 4–6, D-8000 Munich 22, BRD.
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Abstract

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We consider a general credibility model for the prediction of IBNR-claims which allows for random fluctuations in the underlying delay distribution. Such fluctuations always bring about decreasing credibility. It is shown that even negative credibility is achieved for more substantial fluctuations in the delay distribution. Special attention is paid to the mixed Poisson case for claim numbers including the discussion of parameter estimation.

Keywords

Credibility theoryIBNR-reservedelay distributionDirichlet distributionlinear sufficiency
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 18 , Issue 1 , April 1988 , pp. 79 - 90
Copyright
Copyright © International Actuarial Association 1988

Footnotes

(*)

Paper presented at the 1987 Oberwolfach Conference on Risk Theory, 20–26 September 1987.

References

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