KredibilitÄtsschÄtzungen für die Anzahl IBNR-SchÄden

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

“…It is encouraging to notice that formulas in this limiting case correspond to those derived in WITTING (1987a). Likewise, as a -»0 we find Y dj + nij + irij dj + nij + mf and (1 -F(n))m}+ dj + mj'…”

“…It is generally assumed in all these models that the development is to some extent stable. In a number of papers (BUHLMANN, SCHN1EPER and STRAUB, 1980;D E VYLDER, 1982;NORBERG, 1986 andWITTING, 1987a) it has been explicitly laid down in the model assumptions that there is a fixed delay distribution common to all occurrence years.…”

“…(i) Let Xj denote the claim numbers WITTING (1987a). assumes that the times of delay for single claims are i.i.d.…”

Loss prediction based on run-off triangles

“…. , λ 2n such that the incremental loss ratios with respect to v satisfy Schmidt (1998), Bühlmann and Gisler (2005), or Wüthrich (2007). 49 The separation method is due to Verbeek (1972) and Taylor (1977).…”

“…From the decision theoretic point of view adopted here, two-step modeling with a random parameter is just a way to obtain the structure of the first and second order moments of X, and there is no reason for replacing the true target quantity X 0 by its conditional expectation with respect to the random parameter. 17 See DeVylder (1982),Witting (1987),Hesselager and Witting (1988) andMack (1990Mack ( , 2002 as well asHess and Schmidt (2001) andRadtke and Schmidt (2004).…”