Year: 2024
Type: article
Abstract: In reinsurance, Poisson and Negative binomial distributions are employed for modeling frequency. However, the incomplete data regarding reported incurred claims above a priority level presents challenges in estimation. This paper focuses on frequency estimation using Schnieper's framework [Schnieper, R. (1991). Separating true ibnr and ibner claims. ASTIN Bulletin, 21(1), 111–127.] for claim numbering. We demonstrate that Schnieper's model is consistent with a Poisson distribution for the total number of claims above a priority at each year of development, providing a robust basis for parameter estimation. Additionally, we explain how to build an alternative assumption based on a Negative binomial distribution, which yields similar results. The study includes a bootstrap procedure to manage uncertainty in parameter estimation and a case study comparing assumptions and evaluating the impact of the bootstrap approach.
Source: Scandinavian Actuarial Journal
Author: Nicolas Baradel
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4405383882