Department of Finance
Date of this Version
1996
Document Type
Article
Citation
Journal of Actuarial Practice 4 (1996), pp. 287-305
Abstract
We consider the problem of forecasting the number of claims incurred. After subtracting the number of claims reported to date, the number of claims incurred but not reported (IBNR) can be forecasted. The basic model assumes that the number of claims per accident period follows an autoregressive moving average time series process. Instead of assuming the data are available in the usual claim run-off triangle format, we assume that the only data available are the number of claims reported at the valuation date for each accident interval of an observation period. Box-Jenkins methods are used to forecast the ultimate number of claims incurred and to obtain approximate confidence intervals for the number of claims incurred. The forecast of the ultimate number of claims incurred is used to derive the IBNR forecast. We show how additional information on the number of claims reported by the valuation date can be incorporated in the' model when the process is autoregressive.
Included in
Accounting Commons, Business Administration, Management, and Operations Commons, Corporate Finance Commons, Finance and Financial Management Commons, Insurance Commons, Management Sciences and Quantitative Methods Commons
Comments
Copyright 1996 Absalom Press