A Credibility Model with Random Fluctuations in Delay Probabilities for the Prediction of IBNR Claims

Abstract

AbstractWe consider a general credibility model for the prediction of IBNR-claims which allows for random fluctuations in the underlying delay distribution. Such fluctuations always bring about decreasing credibility. It is shown that even negative credibility is achieved for more substantial fluctuations in the delay distribution. Special attention is paid to the mixed Poisson case for claim numbers including the discussion of parameter estimation.