New Findings on Insurance Economics from University of Montreal Summarized (A micro-level claim count model with overdispersion and reporting delays)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Current study results on Economics - Insurance Economics have been published. According to news reporting originating from Montreal, Canada, by VerticalNews correspondents, research stated, "The accurate estimation of outstanding liabilities of an insurance company is an essential task. This is to meet regulatory requirements, but also to achieve efficient internal capital management."

Funders for this research include Australian Actuarial Research Grant, UNSW Business School, Natural Science and Engineering Research Council of Canada.

Our news editors obtained a quote from the research from the University of Montreal, "Over the recent years, there has been increasing interest in the utilisation of insurance data at a more granular level, and to model claims using stochastic processes. So far, this so-called 'micro-level reserving' approach has mainly focused on the Poisson process. In this paper, we propose and apply a Cox process approach to model the arrival process and reporting pattern of insurance claims. This allows for over-dispersion and serial dependency in claim counts, which are typical features in real data. We explicitly consider risk exposure and reporting delays, and show how to use our model to predict the numbers of Incurred-But-Not-Reported (IBNR) claims."

According to the news editors, the research concluded: "The model is calibrated and illustrated using real data from the AUSI data set."

For more information on this research see: A micro-level claim count model with overdispersion and reporting delays. Insurance Mathematics & Economics, 2016;71():1-14. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

The news editors report that additional information may be obtained by contacting B. Avanzi, University of Montreal, Dept. of Math & Stat, Montreal, PQ H3T 1J4, Canada. Additional authors for this research include B. Wong and X.D. Yang.

Keywords for this news article include: Montreal, Quebec, Canada, North and Central America, Insurance Economics, Economics, University of Montreal.

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