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Wednesday, January 20, 2016

Wednesday, January 20, 2016 — 4:00 PM EST

A Marked Cox Model for IBNR Claims: Theory and Application

Incurred but not reported (IBNR) loss reserving is a very important issue for Property & Casualty (P&C) insurers. To calculate IBNR reserve, one needs to model claim arrivals and then predict IBNR claims. However, factors such as temporal dependence among claim arrivals and exposure fluctuation are often not incorporated in most of the current loss reserving models, which greatly affect the accuracy of IBNR predictions.

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