Prediction of outstanding claims: A hierarchical credibility approach. (English) Zbl 0778.62097
This paper presents a hierarchical credibility model for predicting unpaid losses which arise from incurred but not yet reported claims, where the distribution of notification delays depends on the type of claim.
Reviewer: E.Shiu (Iowa City)
MSC:
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
Keywords:
IBNR-claims; RBNS-claims; loss reserving; reported but not yet settled claims; linear Bayes prediction; Dirichlet distribution; hierarchical regression; hierarchical credibility model; predicting unpaid losses; incurred but not yet reported claimsReferences:
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