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Landry, Drake David, and Steven Martin. 2022. “Policy-Level Unreported Frequency Model for Pure IBNR Estimation.” Variance 15 (1).
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  • Figure 1. Piecewise Uniform-Gamma Distributions
  • Figure 2. Diagram of Distribution Fitting and Simulation Process
  • Policy-Level Unreported Frequency Model Excel Companion File

Abstract

The paper develops a policy-level unreported claim frequency distribution for use in individual claim reserving models. Recently, there has been increased interest in using individual claim detail to estimate reserves and to understand variability around reserve estimates. The method we describe can aid in the estimation/simulation of pure incurred but not reported (IBNR) from individual claim and policy data. In addition to a point estimate, the method can provide a full distribution of claim emergence, which can be useful for diagnostic tests (i.e., actual versus expected analyses) and to understand reserve variability.

Accepted: July 05, 2021 EDT