Modeling frequency distribution above a priority in presence of IBNR
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arXiv
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| Format: | Preprint |
| Publié: |
2024
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| _version_ | 1866909426108071936 |
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| author | Baradel, Nicolas |
| author_facet | Baradel, Nicolas |
| contents | 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 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_02871 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Modeling frequency distribution above a priority in presence of IBNR Baradel, Nicolas Methodology Probability 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 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. |
| title | Modeling frequency distribution above a priority in presence of IBNR |
| topic | Methodology Probability |
| url | https://arxiv.org/abs/2405.02871 |