Claims reserving, state-space models and the Kalman filter

Abstract

1.1. This paper describes a consistent and justifiable means of establishing adequate claims provisions in General Insurance. The topic has created widespread interest amongst actuaries, accountants and regulatory authorities. The issue of adequate provisions is of utmost importance to policyholders, whose justifiable claims must be paid, insurance companies who must be able to satisfy shareholders and make proper assessments of premiums, and regulatory authorities who must be satisfied that adequate provision has been made for all liabilities.